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Real-World Forward Rate Dynamics With Affine Realizations - MaRDI portal

Real-World Forward Rate Dynamics With Affine Realizations (Q3448331)

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scientific article
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Real-World Forward Rate Dynamics With Affine Realizations
scientific article

    Statements

    title
    Real-World Forward Rate Dynamics With Affine Realizations (English)
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    author
    Eckhard Platen
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    Stefan Tappe
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    publication date
    23 October 2015
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    zbMATH Keywords
    Lévy driven interest rate model
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    real-world forward rate dynamics
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    affine realization
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    market price of risk
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60G51
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    60H15
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    zbMATH DE Number
    6497854
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    OpenAlex ID
    W2962962067
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    arXiv ID
    1907.05072
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