Interest rates risk-premium and shape of the yield curve

DOI10.3934/dcdsb.2016013zbMath1347.60091OpenAlexW2340583622MaRDI QIDQ316908

Srdjan D. Stojanovic

Publication date: 30 September 2016

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2016013

zbMATH Keywords

yield curveoptimal pricingrisk premiumstochastic interest rate model

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

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