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A model of the term structure of interest rates based on Lévy fields - MaRDI portal

A model of the term structure of interest rates based on Lévy fields (Q2485808)

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A model of the term structure of interest rates based on Lévy fields
scientific article

    Statements

    title
    A model of the term structure of interest rates based on Lévy fields (English)
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    author
    Andrea Mahnig
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    Sergio A. Albeverio
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    Eugene W. Lytvynov
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    publication date
    5 August 2005
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    zbMATH Keywords
    Term structure of interest rates
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    Lévy fields
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    HJM model
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    Kennedy model
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    Identifiers

    Mathematics Subject Classification ID
    91B28
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    60J75
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    60H15
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    60G51
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    zbMATH DE Number
    2192546
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    OpenAlex ID
    W2044796150
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    arXiv ID
    math/0311144
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