Noncausal affine processes with applications to derivative pricing

Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of term structure risks. We introduce class noncausal linear models by considering that reverse time. These especially relevant pricing sequences speculative bubbles. show feature nonaffine dynamics calendar time, while still providing (quasi) closed structures and derivative formulas. The framework is illustrated with interest rates European call option examples.