Randomised Mixture Models for Pricing Kernels

DOI10.1142/9789811246494_0013zbMath1489.91285OpenAlexW4214658564MaRDI QIDQ5072626

Andrea Macrina, Priyanka A. Parbhoo

Publication date: 29 April 2022

Published in: Financial Informatics (Search for Journal in Brave)

Full work available at URL: http://discovery.ucl.ac.uk/1376524/1/art_10.1007_s10690-014-9186-7.pdf

zbMATH Keywords

asset pricingMarkov processesinterest ratesyield curvesEsscher martingalesweighted heat kernels

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Heat kernel (35K08)

This page was built for publication: Randomised Mixture Models for Pricing Kernels