COHERENT CHAOS INTEREST-RATE MODELS

DOI10.1142/S0219024915500168zbMath1337.91117arXiv1403.3362OpenAlexW3099937413WikidataQ62272427 ScholiaQ62272427MaRDI QIDQ5256833

Stala Hadjipetri, Dorje C. Brody

Publication date: 29 June 2015

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.3362

zbMATH Keywords

Fock spacecoherent statesWiener chaos expansionpricing kernelconditional variance representation

Mathematics Subject Classification ID

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

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• Multiplication of distributions

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