THE CARMA INTEREST RATE MODEL (Q4979881): Difference between revisions

From MaRDI portal
← Older editNewer edit →
Import240304020342 (talk | contribs)
4,416,906 edits
Set profile property.
ReferenceBot (talk | contribs)
Bots
1,851,010 edits
‎Changed an Item
Property / cites work
 
Property / cites work: Q5663204 / rank
 
Normal rank
Property / cites work
 
Property / cites work: On continuous-time threshold ARMA processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Theory of the Term Structure of Interest Rates / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2760417 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Existence of invariant manifolds for stochastic equations in infinite dimension / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4840212 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank
 
Normal rank
Property / cites work
 
Property / cites work: An analytically tractable interest rate model with humped volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Interest rate option pricing with volatility humps / rank
 
Normal rank
Property / cites work
 
Property / cites work: An alternative approach on the existence of affine realizations for HJM term structure models / rank
 
Normal rank
Property / cites work
 
Property / cites work: An equilibrium characterization of the term structure / rank
 
Normal rank

Revision as of 16:05, 8 July 2024

scientific article; zbMATH DE number 6305520
Language Label Description Also known as
English
THE CARMA INTEREST RATE MODEL
scientific article; zbMATH DE number 6305520

    Statements

    title
    THE CARMA INTEREST RATE MODEL (English)
    0 references
    author
    Arne Andresen
    0 references
    Fred Espen Benth
    0 references
    Steen Koekebakker
    0 references
    Valeriy Zakamulin
    0 references
    publication date
    19 June 2014
    0 references
    Mathematics Subject Classification ID
    91G30
    0 references
    62P05
    0 references
    62M10
    0 references
    91G70
    0 references
    zbMATH DE Number
    6305520
    0 references
    zbMATH Keywords
    interest rate model
    0 references
    short rate
    0 references
    forward rate
    0 references
    term structure
    0 references
    CARMA process
    0 references
    bond pricing
    0 references
    bond option pricing
    0 references
    yield curve
    0 references
    volatility curve
    0 references
    calibration
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q4979881&oldid=35394257"
    Powered by MediaWiki