Advanced Search
Home > Journals > Taiwanese J. Math. > Volume 19 > Issue 5 > Article
Open Access
2015 COMPUTATION OF FREDHOLM DETERMINANTS FOR QUADRATIC ORNSTEIN-UHLENBECK FUNCTIONALS
Nicolas Privault, Hailing Wu
Taiwanese J. Math. 19(5): 1541-1559 (2015). DOI: 10.11650/tjm.19.2015.4072

Abstract

We derive closed form expressions for the Laplace transform of certain quadratic Brownian functionals based on the Ornstein-Uhlenbeck process, using both Fredholm determinants and PDE arguments. Classical and new bond pricing formulas in quadratic Brownian models are obtained as particular cases.

Citation

Download Citation

Nicolas Privault. Hailing Wu. "COMPUTATION OF FREDHOLM DETERMINANTS FOR QUADRATIC ORNSTEIN-UHLENBECK FUNCTIONALS." Taiwanese J. Math. 19 (5) 1541 - 1559, 2015. https://doi.org/10.11650/tjm.19.2015.4072

Information

Published: 2015
First available in Project Euclid: 4 July 2017

zbMATH: 1357.60086
MathSciNet: MR3412020
Digital Object Identifier: 10.11650/tjm.19.2015.4072

Subjects:
Primary: 45B05 , 60J60 , 60J70 , 65F40 , 91B25

Keywords: bond pricing , Cox-Ingersoll-Ross model , Fredholm expansions and equations , Ornstein-Uhlenbeck process , quadratic Brownian functionals , Volterra operators

Rights: Copyright © 2015 The Mathematical Society of the Republic of China

JOURNAL ARTICLE
 19 PAGES
DOWNLOAD PDF + SAVE TO MY LIBRARY
GET CITATION
< Previous Article
|
Next Article >
Vol.19 • No. 5 • 2015
Mathematical Society of the Republic of China
Subscribe to Project Euclid
Receive erratum alerts for this article
Back to Top