Interest rate modeling with generalized Langevin equations

DOI10.1214/23-bjps579zbMath1530.91582OpenAlexW4388930932MaRDI QIDQ6179289

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Publication date: 16 January 2024

Published in: Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/23-bjps579

zbMATH Keywords

option pricingzero-coupon bond priceforward measureshort rateforward ratemarket-consistent calibrationgeneralized/retarded Langevin equation

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

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