Random step functions model for interest rates

DOI10.1007/S007800200080zbMath1035.60086OpenAlexW1977797817MaRDI QIDQ1424709

Eleanor Virag, Fima C. Klebaner, Konstantin A. Borovkov

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1007/s007800200080

zbMATH Keywords

jump processesbondsinterest rates modelMarkov point processesoptions on bonds

Mathematics Subject Classification ID

Markov renewal processes, semi-Markov processes (60K15) Interest rates, asset pricing, etc. (stochastic models) (91G30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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