A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869): Difference between revisions

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+MaRDI publication profile
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+Bond Market Structure in the Presence of Marked Point Processes
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+On the construction of finite dimensional realizations for nonlinear forward rate models
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+On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
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+WHEN IS THE SHORT RATE MARKOVIAN?
@@ Property / cites work: WHEN IS THE SHORT RATE MARKOVIAN? / rank @@
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+Classes of interest rate models under the HJM framework
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+Finite dimensional affine realisations of HJM models in terms of forward rates and yields
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+A class of jump-diffusion bond pricing models within the HJM framework
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+A Theory of the Term Structure of Interest Rates
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+The surprise element: Jumps in interest rates.
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+A YIELD‐FACTOR MODEL OF INTEREST RATES
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+VOLATILITY STRUCTURES OF FORWARD RATES AND THE DYNAMICS OF THE TERM STRUCTURE
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+Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
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+An equilibrium characterization of the term structure
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@@ Property / full work available at URL @@
+https://doi.org/10.1142/s0219024907004147
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+W3122072061
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