On a general class of one-factor models for the term structure of interest rates

DOI10.1007/s007800050014zbMath0883.90020OpenAlexW2044798532MaRDI QIDQ1367942

Wolfgang M. Schmidt

Publication date: 23 March 1998

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s007800050014

zbMATH Keywords

Wiener processterm structure of interest rateslattice approximationcontingent claim pricing

Mathematics Subject Classification ID

Economic growth models (91B62) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Related Items (4)

The dynamics of implied volatilities: a common principal components approach ⋮ Valuing Bermudan options when asset returns are Lévy processes ⋮ Efficient calibration of trinomial trees for one-factor short rate models ⋮ Random field forward interest rate models, market price of risk and their statistics

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