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Publication:2771110
zbMath1004.91039MaRDI QIDQ2771110
Beniamin Goldys, Marek Musiela
Publication date: 6 February 2003
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
martingalesinterest ratesstochastic partial differential equationstochastic analysisfinancial modelingforward interest ratesdiscounted bond pricesforward rate processes
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Portfolio theory (91G10)
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A characterization of hedging portfolios for interest rate contingent claims. ⋮ Kernel-based collocation methods for Heath–Jarrow–Morton models with Musiela parametrization ⋮ Optimal portfolio choice in the bond market ⋮ Shape factors and cross-sectional risk ⋮ Infinite-dimensional Black-Scholes equation with hereditary structure ⋮ Mean reversion for HJMM forward rate models ⋮ Stochastic evolution equations in Banach spaces and applications to the Heath-Jarrow-Morton-Musiela equations ⋮ Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
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