Continuous-time term structure models: Forward measure approach (Q1376237)

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Continuous-time term structure models: Forward measure approach
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    Statements

    title
    Continuous-time term structure models: Forward measure approach (English)
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    author
    Marek Musiela
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    Marek Rutkowski
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    publication date
    11 December 1997
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    zbMATH Keywords
    term structure of interest rates
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    forward measure
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    martingale measure
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    LIBOR rate
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    Identifiers

    DOI
    10.1007/s007800050025
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    Mathematics Subject Classification ID
    60G44
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    91B28
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    60H30
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    zbMATH DE Number
    1096358
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    OpenAlex ID
    W2047010984
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