Heat kernel interest rate models with time-inhomogeneous Markov processes
Jirô Akahori; Andrea Macrina
| Year of publication: |
2012
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|---|---|
| Authors: | Akahori, Jirô ; Macrina, Andrea |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 1, p. 1-15
|
| Subject: | Time-inhomogeneous Markov processes | Lévy processes | heat kernels; pricing kernels | information-based pricing | interest rate models | fixed-income assets | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Zins | Interest rate | Zinsderivat | Interest rate derivative |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009562139