BOND MARKET MODEL
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Publication:5483506
DOI10.1142/S0219024906003640zbMath1184.91204OpenAlexW3124335937MaRDI QIDQ5483506
Publication date: 14 August 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024906003640
Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (5)
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Cites Work
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- LIBOR and swap market models and measures
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- Changes of numéraire, changes of probability measure and option pricing
- A simplified exposition of the health, Jarrow and Morton model
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