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A jump-diffusion model for the euro overnight rate - MaRDI portal

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A jump-diffusion model for the euro overnight rate (Q2893080)

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scientific article; zbMATH DE number 6049743
Language Label Description Also known as
English
A jump-diffusion model for the euro overnight rate
scientific article; zbMATH DE number 6049743

    Statements

    title
    A jump-diffusion model for the euro overnight rate (English)
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    author
    Mattia Raudaschl
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    publication date
    25 June 2012
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    zbMATH Keywords
    applied mathematical finance
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    arbitrage pricing
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    continuous time dynamic finance
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    derivative pricing models
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    term structure
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    91G70
    0 references
    60J70
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    zbMATH DE Number
    6049743
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    OpenAlex ID
    W2034474985
    0 references
     
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