A Useful Result on the Covariance Between Ito Integrals
Journal of Advances in Mathematics and Computer Science · pp. 1–12 · Published 30 Dec 2017
10.9734/JAMCS/2017/38464Abstract
This article introduces a general result on the covariance between two Ito integrals driven by two different Brownian motions, which slightly generalizes the isometry property. This result finds applications in mathematical finance, e.g. it enables to determine the probability distribution of the integrated interest rate process in exponential-affine models of the yield curve.
References (10)
- 1 An equilibrium characterization of the term structure [DOI]
- 2 Stochastic Integration and Differential Equations [DOI]
- 3 Martingales and arbitrage in multiperiod securities markets [DOI]
- 4 Martingales and stochastic integrals in the theory of continuous trading [DOI]
- 5 Interest Rate Models Theory and Practice [DOI]
- 6 Theory of Martingales [DOI]
- 7 Numerical Procedures for Implementing Term Structure Models I: Single-Factor Models [DOI]
- 8 Stochastic Integration Theory [DOI]
- 9 Extension of Stochastic Integrals [DOI]
- 10 Computation of the quadrivariate and pentavariate normal cumulative distribution functions [DOI]
Cited by 2
Fadoua Zeddouk, Pierre Devolder · Risks · 2020
Showing 1 of 2 known citations — external sources report more than can currently be individually listed.
Article metrics
Real usage data collected on this platform.
2
Page views
0
PDF downloads
0
Outbound clicks
2
Citations
Views over time
Views by country
Approximate, from request IP at view time — not citizenship or institution. Countries with fewer than 5 views are grouped as "Other".
Traffic sources
Referring site, by host.
Views and downloads exclude known bots/crawlers. Citations combines this platform's own DOI-resolved index with each external source's own reported total — see Cited by above for individually listed citing works. Last refreshed 0 seconds ago.