Stochastic string models with continuous semimartingales

DOI10.1016/J.PHYSA.2015.03.070zbMath1400.91580OpenAlexW3121576584MaRDI QIDQ1618536

R. Smith

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2015.03.070

zbMATH Keywords

random fieldquantum fieldderivatives pricingterm structuresemimartingalestochastic string

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (3)

The stochastic string model as a unifying theory of the term structure of interest rates ⋮ Valuation of caps and swaptions under a stochastic string model ⋮ Bond market completeness under stochastic strings with distribution-valued strategies

Cites Work

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