Convexity theory for the term structure equation
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Publication:928497
DOI10.1007/s00780-007-0055-3zbMath1150.91018arXivmath/0702435OpenAlexW2137478067MaRDI QIDQ928497
Publication date: 18 June 2008
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0702435
convexitylog-convexitylog-concavityaffine term structurebond optionsInterest rate theoryparameter monotonicity
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Related Items (4)
Asset liquidation under drift uncertainty and regime-switching volatility ⋮ Boundary conditions for the single-factor term structure equation ⋮ PRICING EQUATIONS IN JUMP-TO-DEFAULT MODELS ⋮ Optimal Liquidation of an Asset under Drift Uncertainty
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