59 citations · 92 across the 11 of their papers we have counts for
4 papers · 1 filter
Spectral term structure models
Si Cheng, Michael R. Tehranchi
This note studies a certain stochastic evolution equation in the space of probability measures, including existence and uniqueness results. A solution of this equation gives rise,…
Inequalities for the Gaussian measure of convex sets
Michael R. Tehranchi
This note presents families of inequalities for the Gaussian measure of convex sets which extend the recently proven Gaussian correlation inequality in various directions.
If and are Brownian motions, then is affine
Michael R. Tehranchi
It is shown that if the processes and are both Brownian motions (without a random time change) then must be an affine function. As a by-product of the proof, it is s…
A Characterization of Hedging Portfolios for Interest Rate Contingent Claims
Rene Carmona, Michael Tehranchi
We consider the problem of hedging a European interest rate contingent claim with a portfolio of zero-coupon bonds and show that an HJM type Markovian model driven by an infinite n…