The affine LIBOR models
Martin Keller‐Ressel and Antonis Papapantoleon; Josef Teichmann
| Year of publication: |
2013
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|---|---|
| Authors: | Keller‐Ressel, Martin ; Papapantoleon, Antonis ; Teichmann, Josef |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 23.2013, 4, p. 627-658
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| Subject: | LIBOR rate models | forward price models | affine processes | analytically tractable models | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Volatilität | Volatility | Arbitrage Pricing | Arbitrage pricing | Stochastischer Prozess | Stochastic process | CAPM |
| Extent: | graph. Darst. |
|---|---|
| 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/10010187682