HEAT KERNEL MODELS FOR ASSET PRICING (Q2941066)

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HEAT KERNEL MODELS FOR ASSET PRICING
scientific article

    Statements

    title
    HEAT KERNEL MODELS FOR ASSET PRICING (English)
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    author
    Andrea Macrina
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    publication date
    21 January 2015
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    zbMATH Keywords
    asset pricing
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    pricing kernel
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    Markov processes
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    Lévy random bridges
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    equity
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    interest rates
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    debt
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    spread dynamics
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    contagion
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    Identifiers

    Mathematics Subject Classification ID
    91G80
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    91B25
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    91G30
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    91G20
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    60J25
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    60H30
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    60J75
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    35K08
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    35R60
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    35Q91
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    zbMATH DE Number
    6389038
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    arXiv ID
    1211.0856
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