THE POTENTIAL APPROACH IN PRACTICE

DOI10.1142/S0219024918500218zbMath1398.91627arXiv1204.5718OpenAlexW1581064702MaRDI QIDQ4565072

Tino Kluge, L. C. G. Rogers

Publication date: 7 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1204.5718

zbMATH Keywords

Markov chaininterest ratesparticle filteringpotential approach

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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• A joint stock and bond market based on the hyperbolic Gaussian model
• THE MULTI-CURVE POTENTIAL MODEL
• The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
• Asset Pricing Using Finite State Markov Chain Stochastic Discount Functions
• Risk Premia and Volatilities in a Nonlinear Term Structure Model

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