Stochastic models for bond prices, function space integrals and immunization theory (Q1262066): Difference between revisions
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Revision as of 03:44, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stochastic models for bond prices, function space integrals and immunization theory |
scientific article |
Statements
Stochastic models for bond prices, function space integrals and immunization theory (English)
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1988
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Itô's lemma
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function space integrals
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Ornstein-Uhlenbeck
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process
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term structure of interest rates
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duration
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interest rate
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futures
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diffusion models for bond prices
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spot interest rate
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no-arbitrage principle
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conditional expectation
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bond-price partial differential equation
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yield rate
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Brownian bridge process
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immunization theory
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