What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | What is the natural scale for a Lévy process in modelling term structure of interest rates? |
scientific article |
Statements
What is the natural scale for a Lévy process in modelling term structure of interest rates? (English)
0 references
27 November 2007
0 references
state price density approach
0 references
term structure models
0 references
Shirakawa model
0 references
Lévy process
0 references
probability density
0 references
0 references
0 references
