Markov interest rate models (Q4541579)

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scientific article; zbMATH DE number 1771973
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English
Markov interest rate models
scientific article; zbMATH DE number 1771973

    Statements

    title
    Markov interest rate models (English)
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    author
    Patrick S. Hagan
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    Diana E. Woodward
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    publication date
    5 September 2002
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    zbMATH DE Number
    1771973
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    zbMATH Keywords
    Markovian interest rate models
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    state variable
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    g-m models
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    swaption prices
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    marked prices
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