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Interest rate modeling with generalized Langevin equations - MaRDI portal

Interest rate modeling with generalized Langevin equations (Q6179289)

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scientific article; zbMATH DE number 7789479
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English
Interest rate modeling with generalized Langevin equations
scientific article; zbMATH DE number 7789479

    Statements

    title
    Interest rate modeling with generalized Langevin equations (English)
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    publication date
    16 January 2024
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    zbMATH Keywords
    forward measure
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    forward rate
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    generalized/retarded Langevin equation
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    market-consistent calibration
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    option pricing
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    short rate
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    zero-coupon bond price
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    91G20
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    60H30
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    zbMATH DE Number
    7789479
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    OpenAlex ID
    W4388930932
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    DOI
    10.1214/23-BJPS579
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