Perturbation approach to pricing of contingent claims in affine and quadratic term structure models driven by processes Ornstein-Uhlenbeck type, with small jump components, is developed. For contingent claims of short maturity, the leading term and correction terms are calculated using the...

We propose the eigenfunction expansion method for pricing options in linear-quadratic terms structure models. The eigenvalues, eigenfunctions and adjoint functions are calculated using elements of the representation theory of Lie algebras not only in the self-adjoint case but in non-selfadjoint...

We show that three classes of multi-factor gaussian mean-reverting models: for the dynamics of the (log-)price of a stock, ATSM of the Ornstein-Uhlenbeck type, and QTSM are equivalent, when contingent claims with deterministic life-spans are considered. We provide the reduction of these models...

The standard operator approach to the identification problem of diffusions and more general Markov processes relies on the variational principles for self-adjoint operators. If the process is not time reversible, equivalently, the infinitesimal operator of the process is not self-adjoint, these...

This paper considers the problem of information acquisition in an intermediated market, where the specialists have access to superior technology for acquiring information. These informational advantages of specialists relative to households lead to disagreement between the two groups, changing...