Polynomial Preserving Diffusions and Applications in Finance
dc.contributor.author
Filipović, Damir
dc.contributor.author
Larsson, Martin
dc.date.accessioned
2020-05-29T08:01:57Z
dc.date.available
2017-06-11T15:50:50Z
dc.date.available
2020-05-29T08:01:57Z
dc.date.issued
2014-04-03
dc.identifier.uri
http://hdl.handle.net/20.500.11850/97293
dc.language.iso
en
en_US
dc.publisher
Cornell University
en_US
dc.subject
Polynominal Diffusions
en_US
dc.subject
Polynominal Diffusion Models in Finance
en_US
dc.subject
Stochastic invariance
en_US
dc.subject
Boundary attainment
en_US
dc.subject
Moment problem
en_US
dc.title
Polynomial Preserving Diffusions and Applications in Finance
en_US
dc.type
Working Paper
ethz.journal.title
arXiv
ethz.pages.start
1404.0989
en_US
ethz.size
43 p.
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G12 - Asset Pricing; Trading Volume; Bond Interest Rates
en_US
ethz.code.jel
JEL - JEL::G - Financial Economics::G1 - General Financial Markets::G13 - Contingent Pricing; Futures Pricing
en_US
ethz.identifier.arxiv
1404.0989
ethz.publication.place
Ithaca, NY
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09546 - Larsson, Martin (ehemalig) / Larsson, Martin (former)
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09546 - Larsson, Martin (ehemalig) / Larsson, Martin (former)
ethz.relation.isPreviousVersionOf
10.3929/ethz-b-000117708
ethz.date.deposited
2017-06-11T15:51:27Z
ethz.source
ECIT
ethz.identifier.importid
imp593652df37b9e64270
ethz.ecitpid
pub:152225
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2017-07-18T12:26:53Z
ethz.rosetta.lastUpdated
2020-05-29T08:02:28Z
ethz.rosetta.versionExported
true
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Working Paper [5285]