Markovian term structure models in discrete time

DOI10.1214/aoap/1026915622zbMath1020.60060OpenAlexW2008857707MaRDI QIDQ1872398

Damir Filipović, Zabczyk, Jerzy

Publication date: 6 May 2003

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://infoscience.epfl.ch/record/148506/files/Markovian%20Term%20Structure%20Models%20in%20Discrete.pdf

zbMATH Keywords

Markov chainforward curve modelGaussian term structure

Mathematics Subject Classification ID

Related Items (8)

DEFAULTABLE TERM STRUCTURES DRIVEN BY SEMIMARTINGALES ⋮ Sensitivity with Respect to the Yield Curve: Duration in a Stochastic Setting ⋮ CONSISTENT YIELD CURVE PREDICTION ⋮ Staying at zero with affine processes: an application to term structure modelling ⋮ On CIR Equations with General Factors ⋮ A note on arbitrage in term structure ⋮ Hogan–Weintraub singularity and explosive behaviour in the Black–Derman–Toy model ⋮ Market Consistent Pricing of Insurance Products

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• A general characterization of one factor affine term structure models
• Stochastic Equations in Infinite Dimensions
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