Discrete-time interest rate modelling

DOI10.1142/9789814313179_0054zbMath1275.91139arXiv0911.0750OpenAlexW2297484007MaRDI QIDQ4919471

Andrea Macrina, Lane P. Hughston

Publication date: 14 May 2013

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

Full work available at URL: https://arxiv.org/abs/0911.0750

zbMATH Keywords

transversality conditionfinancial time seriesfinancial bubblesinterest rates modelspricing kernelsFlesaker-Hughston models

Mathematics Subject Classification ID

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

This page was built for publication: Discrete-time interest rate modelling