A BSDE approach for bond pricing under interest rate models with self-exciting jumps (Q5078537): Difference between revisions

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Latest revision as of 01:33, 29 July 2024

scientific article; zbMATH DE number 7530978
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English
A BSDE approach for bond pricing under interest rate models with self-exciting jumps
scientific article; zbMATH DE number 7530978

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    A BSDE approach for bond pricing under interest rate models with self-exciting jumps (English)
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    23 May 2022
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    bond pricing
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    interest rate model
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    clustering effects
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    backward stochastic differential equation
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    marked point process
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