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The Continuous-Time Ehrenfest Process in Term Structure Modelling - MaRDI portal

The Continuous-Time Ehrenfest Process in Term Structure Modelling (Q4933194)

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scientific article; zbMATH DE number 5798761
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The Continuous-Time Ehrenfest Process in Term Structure Modelling
scientific article; zbMATH DE number 5798761

    Statements

    title
    The Continuous-Time Ehrenfest Process in Term Structure Modelling (English)
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    publication date
    12 October 2010
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    zbMATH Keywords
    Ehrenfest model
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    interest rate derivative
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    short rate
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    term structure
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    Vasicek model
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    zero-coupon bond
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60J28
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    91G20
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    33C52
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    zbMATH DE Number
    5798761
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    OpenAlex ID
    W1973916518
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    arXiv ID
    1003.6042
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