Continuous-time term structure models: Forward measure approach

DOI10.1007/s007800050025zbMath0888.60037OpenAlexW2047010984MaRDI QIDQ1376237

Marek Rutkowski, Marek Musiela

Publication date: 11 December 1997

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

Full work available at URL: https://doi.org/10.1007/s007800050025

zbMATH Keywords

term structure of interest ratesmartingale measureforward measureLIBOR rate

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44)

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