A BSDE approach for bond pricing under interest rate models with self-exciting jumps
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Publication:5078537
DOI10.1080/03610926.2019.1691234OpenAlexW2984285398MaRDI QIDQ5078537
Zhongyang Sun, Xin Zhang, Ya-Nan Li
Publication date: 23 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1691234
interest rate modelmarked point processbackward stochastic differential equationbond pricingclustering effects
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