On CIR Equations with General Factors

DOI10.1137/19M1292771zbMath1443.91283MaRDI QIDQ5112533

Michał Barski, Zabczyk, Jerzy

Publication date: 29 May 2020

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

zbMATH Keywords

bond marketCIR modelHJM conditionstable martingales

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic integral equations (60H20)

Related Items (1)

The investor problem based on the HJM model

Cites Work

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