Implied interest rate pricing models

DOI10.1007/s007800050041zbMath0907.60046OpenAlexW1971173613MaRDI QIDQ1387769

P. J. Hunt, Joanne Kennedy

Publication date: 18 February 1999

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

Full work available at URL: https://doi.org/10.1007/s007800050041

zbMATH Keywords

interest rate modelsswaptionsmartingale theory

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

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