A comparison of single factor Markov-functional and multi factor market models (Q541589): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+B26
@@ Property / Mathematics Subject Classification ID: 91B26 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+5904985
@@ Property / zbMATH DE Number: 5904985 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Markov-functional model
@@ Property / zbMATH Keywords: Markov-functional model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+market model
@@ Property / zbMATH Keywords: market model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Bermudan swaption
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+terminal correlation
@@ Property / zbMATH Keywords: terminal correlation / rank @@
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+hedging
@@ Property / zbMATH Keywords: hedging / rank @@
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@@ Property / zbMATH Keywords @@
+greeks for callable products
@@ Property / zbMATH Keywords: greeks for callable products / rank @@
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+smile
@@ Property / zbMATH Keywords: smile / rank @@
+Normal rank

Revision as of 10:22, 1 July 2023