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zbMath1365.60070MaRDI QIDQ2971286

Roman V. Ivanov, Grigory Temnov

Publication date: 4 April 2017

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Ornstein-Uhlenbeck process diffusion processes moment-generating function stochastic interest rate forward pricing variance gamma process futures pricing

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Characteristic functions; other transforms (60E10) Diffusion processes (60J60) Financial applications of other theories (91G80)

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