WHEN IS THE SHORT RATE MARKOVIAN? (Q4372040): Difference between revisions
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| Property / cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation / rank | |||
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| Property / cites work: An equilibrium characterization of the term structure / rank | |||
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Latest revision as of 10:16, 28 May 2024
scientific article; zbMATH DE number 1106723
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | WHEN IS THE SHORT RATE MARKOVIAN? |
scientific article; zbMATH DE number 1106723 |
Statements
WHEN IS THE SHORT RATE MARKOVIAN? (English)
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21 January 1998
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term structure of interest rates
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short rate
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Heath model
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Jarrow model
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Morton model
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