A tractable market model with jumps for pricing short-term interest rate derivatives

DOI10.1088/1469-7688/1/2/309zbMath1405.91649OpenAlexW2170164602MaRDI QIDQ4646485

Yann Samuelides, Erich Nahum

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/1/2/309

zbMATH Keywords

jumpsinterest rate derivative pricingtractable market model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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