Stochastic Interest Rates
From MaRDI portal
Publication:5255173
DOI10.1017/CBO9781139035033zbMath1318.91002MaRDI QIDQ5255173
Daragh McInerney, Zastawniak, Tomasz
Publication date: 12 June 2015
Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)
Related Items (2)
Unnamed Item ⋮ Calculation of the convexity adjustment to the forward rate in the Vasicek model for the forward in-arrears contracts on LIBOR rate
This page was built for publication: Stochastic Interest Rates
