Interest rate term structure modelling
From MaRDI portal
Publication:2275618
DOI10.1016/j.ejor.2011.01.033zbMath1218.91161MaRDI QIDQ2275618
Publication date: 9 August 2011
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2011.01.033
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G30: Interest rates, asset pricing, etc. (stochastic models)
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Cites Work
- Interest rate models -- theory and practice. With smile, inflation and credit
- Stochastic calculus for finance. II: Continuous-time models.
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- The Market Model of Interest Rate Dynamics
- Financial Derivatives in Theory and Practice
- Changes of numéraire, changes of probability measure and option pricing
- An equilibrium characterization of the term structure
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