On the structure of Gaussian pricing models and Gaussian Markov functional models

DOI10.1080/14697680601146838zbMath1151.91450OpenAlexW2019616602MaRDI QIDQ5433094

C. D. D. Neumann

Publication date: 19 December 2007

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://ir.cwi.nl/pub/4194

zbMATH Keywords

derivatives pricingmathematical financeexotic optionsinterest rate modelling

Mathematics Subject Classification ID

Cites Work

• Minimal realizations in interest rate models
• WHEN IS THE SHORT RATE MARKOVIAN?
• BOND MARKET MODEL
• SYMMETRIES IN JUMP-DIFFUSION MODELS WITH APPLICATIONS IN OPTION PRICING AND CREDIT RISK
• Markov-functional interest rate models

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