Markov-functional interest rate models

DOI10.1007/PL00013525zbMath1066.60045OpenAlexW3123653736MaRDI QIDQ5926473

Antoon Pelsser, Phil Hunt, Joanne Kennedy

Publication date: 1 March 2001

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/pl00013525

zbMATH Keywords

yield curve modelling, derivatives pricing, Markov processes

Mathematics Subject Classification ID

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