Limiting connection between discrete and continuous time forward interest rate curve models

DOI10.1023/A:1025752526404zbMath1035.60018OpenAlexW1504965947MaRDI QIDQ1415867

Gyula Pap, Martien C. A. Van Zuijlen, József Gáll

Publication date: 9 December 2003

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1025752526404

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic models in economics (91B70) Microeconomic theory (price theory and economic markets) (91B24)

Related Items (3)

A note on arbitrage in term structure ⋮ Forward interest rate curves in discrete time settings driven by random fields ⋮ Random field forward interest rate models, market price of risk and their statistics

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