Rational term structure models with geometric Lévy martingales (Q3145086)

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Rational term structure models with geometric Lévy martingales
scientific article

    Statements

    title
    Rational term structure models with geometric Lévy martingales (English)
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    author
    Dorje C. Brody
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    Lane P. Hughston
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    Ewan MacKie
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    published in
    Stochastics
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    publication date
    13 December 2012
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    zbMATH Keywords
    interest rate modelling
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    asset pricing
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    Lévy processes
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    cites work
    Q5478316
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    Q4794153
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    Q4486401
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60G51
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    91G20
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    zbMATH DE Number
    6115686
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    OpenAlex ID
    W3102765787
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    Wikidata QID
    Q62272438
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    arXiv ID
    1012.1793
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