An edition of Linearity-generating processes (2007)

Linearity-generating processes

a modelling tool yielding closed forms for asset prices

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Linearity-generating processes
Xavier Gabaix, Xavier Gabaix
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Last edited by Open Library Bot
December 3, 2010 | History
An edition of Linearity-generating processes (2007)

Linearity-generating processes

a modelling tool yielding closed forms for asset prices

  • 1 Want to read

"This methodological paper presents a class of stochastic processes with appealing properties for theoretical or empirical work in finance and macroeconomics, the "linearity-generating" class. Its key property is that it yields simple exact closed-form expressions for stocks and bonds, with an arbitrary number of factors. It operates in discrete and continuous time. It has a number of economic modeling applications. These include macroeconomic situations with changing trend growth rates, or stochastic probability of disaster, asset pricing with stochastic risk premia or stochastic dividend growth rates, and yield curve analysis that allows flexibility and transparency. Many research questions may be addressed more simply and in closed form by using the linearity-generating class"--National Bureau of Economic Research web site.

Publish Date
Language
English

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Book Details


Edition Notes

Title from PDF file as viewed on 9/26/2007.

Includes bibliographical references.

Also available in print.

System requirements: Adobe Acrobat Reader.

Mode of access: World Wide Web.

Published in
Cambridge, MA
Series
NBER working paper series -- working paper 13430, Working paper series (National Bureau of Economic Research : Online) -- working paper no. 13430.

Classifications

Library of Congress
HB1

The Physical Object

Format
[electronic resource] :

Edition Identifiers

Open Library
OL31800487M
LCCN
2007616587

Work Identifiers

Work ID
OL5893950W

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History

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December 3, 2010 Edited by Open Library Bot Added subjects from MARC records.
December 10, 2009 Created by WorkBot add works page