Kernel-correlated Lévy field driven forward rate and application to derivative pricing
type: Item
instance of: scholarly article
title: Kernel-correlated Lévy field driven forward rate and application to derivative pricing
zbMATH Open document ID: 1272.93105
author: Xuewei Yang
author: Lijun Bo
author: Yongjin Wang
published in: Applied Mathematics and Optimization
publication date: 2013-10-21T00:00:00Z
Mathematics Subject Classification ID: 93E03
Mathematics Subject Classification ID: 91G10
zbMATH DE Number: 6217454
zbMATH Keywords: forward interest rate
zbMATH Keywords: kernel-correlated Lévy field
zbMATH Keywords: HJM model
zbMATH Keywords: derivative pricing
MaRDI profile type: Publication
full work available at URL: s00245-013-9196-2
OpenAlex ID: W3125285325
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DOI: 10.1007/S00245-013-9196-2
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description: scientific article; zbMATH DE number 6217454