Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence (Q6567317)
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scientific article; zbMATH DE number 7876203
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence |
scientific article; zbMATH DE number 7876203 |
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Exact perturbation approximations for the conditional moments of a multifactor CIR term structure model with a weak mean-reversion influence (English)
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4 July 2024
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term structure model
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multifactor CIR model
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perturbation method
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Riccati equations
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conditional moments
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