Conditional Gaussian models of the term structure of interest rates

DOI10.1007/S007800100061zbMath1026.60050OpenAlexW1993048250MaRDI QIDQ1409833

Simon H. Babbs

Publication date: 22 October 2003

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

Full work available at URL: https://doi.org/10.1007/s007800100061

zbMATH Keywords

interest rate modelmarket modelsconditionally Gaussian

Mathematics Subject Classification ID

Martingales with discrete parameter (60G42)

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