Short rate analysis and marked point processes

DOI10.1007/s001860050041zbMath0991.91032OpenAlexW2053348750MaRDI QIDQ1806288

Shiu Hong Lui, Allanus H. Tsoi, Robert J. Elliott

Publication date: 1 November 1999

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050041

zbMATH Keywords

marked point processspot interest ratediscount bond pricepartial differential difference equation

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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