Log-gamma motion as flexible model for generalized interest rates

DOI10.1080/07362994.2017.1400917zbMath1390.91309OpenAlexW2784184259MaRDI QIDQ4639175

Milan Stehlík, Pavlina Jordanova, Jozef Kisel'ák

Publication date: 3 May 2018

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10533/232540

zbMATH Keywords

martingaleinterest rateinv-log-gamma process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (1)

Generalized Inv-Log-Gamma-G processes

Cites Work

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• On the Distribution of the Integrated Square of the Ornstien–Uhlenbeck Process
• An infinite-dimensional analogue of the Lebesgue measure and distinguished properties of the gamma process

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