A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
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Publication:5696856
DOI10.1142/S0219024903001852zbMath1079.91027MaRDI QIDQ5696856
Robert J. Elliott, Rogemar S. Mamon
Publication date: 19 October 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
60G44: Martingales with continuous parameter
60J27: Continuous-time Markov processes on discrete state spaces
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