Stable distributions and the term structure of interest rates

DOI10.1016/S0895-7177(99)00092-8zbMath1051.60018MaRDI QIDQ699420

Svetlozar T. Rachev, Stamatis Dostoglou

Publication date: 6 October 2002

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

zbMATH Keywords

stable processesrandom time changeterm structure of interest rate

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07)

Related Items

Stable distributions and the term structure of interest rates ⋮ Maximum likelihood estimation of stable Paretian models.

Cites Work

• Stable distributions and the term structure of interest rates
• Option pricing for stable and infinitely divisible asset returns
• Portfolio Analysis in a Stable Paretian Market
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