Stochastic Control and Pricing Under Swap Measures

DOI10.1007/978-3-0348-0545-2_18zbMath1281.91156OpenAlexW129712466MaRDI QIDQ5746532

Andrea Gombani, Wolfgang J. Runggaldier, Riccardo Cogo

Publication date: 19 February 2014

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VII (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-0348-0545-2_18

zbMATH Keywords

stochastic controlinterest rate derivative pricingmulti-factor term structures

Mathematics Subject Classification ID

Related Items (1)

A stochastic control perspective on term structure models with roll-over risk

Cites Work

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• Interest rate models -- theory and practice. With smile, inflation and credit
• ARBITRAGE-FREE MULTIFACTOR TERM STRUCTURE MODELS: A THEORY BASED ON STOCHASTIC CONTROL
• Arbitrage Theory in Continuous Time

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