What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Changed an Item |
||
| Property / arXiv ID | |||
| Property / arXiv ID: math/0612341 / rank | |||
Normal rank | |||
Revision as of 07:29, 19 April 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | What is the natural scale for a Lévy process in modelling term structure of interest rates? |
scientific article |
Statements
What is the natural scale for a Lévy process in modelling term structure of interest rates? (English)
0 references
27 November 2007
0 references
state price density approach
0 references
term structure models
0 references
Shirakawa model
0 references
Lévy process
0 references
probability density
0 references
