Long-term factorization in Heath-Jarrow-Morton models
Likuan Qin, Vadim Linetsky
| Year of publication: |
July 2018
|
|---|---|
| Authors: | Qin, Likuan ; Linetsky, Vadim |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 3, p. 621-641
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| Subject: | Stochastic discount factor | Long-term factorization | Long bond | Long forward measure | HJM models | Zinsstruktur | Yield curve | CAPM | Diskontierung | Discounting | Anleihe | Bond | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-018-0365-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011945879