The Market Model of Interest Rate Dynamics (Q4372046): Difference between revisions

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Latest revision as of 22:01, 19 March 2024

scientific article; zbMATH DE number 1106730
Language Label Description Also known as
English
The Market Model of Interest Rate Dynamics
scientific article; zbMATH DE number 1106730

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    The Market Model of Interest Rate Dynamics (English)
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    1997
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    term structure models
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    HJM framework
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    lognormality of rates
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    stochastic partial differential equations
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    caps
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    swaptions
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