Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing

DOI10.1142/12000zbMath1496.91001OpenAlexW3176016417MaRDI QIDQ3388120

Nicolas Privault

Publication date: 9 January 2021

Published in: Advanced Series on Statistical Science & Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/12000

zbMATH Keywords

stochastic interest rate modeling

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

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