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Bonds and Options in Exponentially Affine Bond Models - MaRDI portal

Bonds and Options in Exponentially Affine Bond Models

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Publication:5363231

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DOI10.1080/1350486X.2011.646505zbMath1372.91102MaRDI QIDQ5363231

Hans-Peter Bermin

Publication date: 5 October 2017

Published in: Applied Mathematical Finance (Search for Journal in Brave)

zbMATH Keywords

interest rates term structure yield curve square-root process swaptions bonds bond options exponentially affine measure

Mathematics Subject Classification ID

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

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