AFFINE LATTICE MODELS (Q4675935)

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scientific article; zbMATH DE number 2166059
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English
AFFINE LATTICE MODELS
scientific article; zbMATH DE number 2166059

    Statements

    title
    AFFINE LATTICE MODELS (English)
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    author
    Claudio Albanese
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    Alexey Kuznetsov
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    publication date
    6 May 2005
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    Mathematics Subject Classification ID
    60J70
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    60J80
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    60J85
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    91B28
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    zbMATH DE Number
    2166059
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    zbMATH Keywords
    Interest rate models
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    affine models
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    birth and death processes
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    discretization scheme
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