scientific article; zbMATH DE number 1222803

zbMath0912.90061MaRDI QIDQ4218390

Nick Webber, Simon H. Babbs

Publication date: 11 November 1998

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

zbMATH Keywords

interest rate dynamicsterm structure modelling

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (5)

The multifactor nature of the volatility of futures markets ⋮ Discrete-time bond and option pricing for jump-diffusion processes ⋮ A Markov regime-switching marked point process for short-rate analysis with credit risk ⋮ A multi-factor jump-diffusion model for commodities† ⋮ The surprise element: Jumps in interest rates.

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