Randomised Mixture Models for Pricing Kernels
Year of publication: |
2014
|
---|---|
Authors: | Macrina, Andrea ; Parbhoo, Priyanka |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 21.2014, 4, p. 281-315
|
Publisher: |
Springer |
Subject: | Asset pricing | Interest rates | Yield curves | Markov processes | Esscher martingales | Weighted heat kernels |
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