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Interest rate convexity in a Gaussian framework - MaRDI portal

Interest rate convexity in a Gaussian framework

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Publication:6592277

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DOI10.1080/14697688.2024.2356234MaRDI QIDQ6592277

Mugad Oumgari, Antoine Jacquier

Publication date: 26 August 2024

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

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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