HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES (Q5072622): Difference between revisions

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scientific article; zbMATH DE number 6027858
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Property / zbMATH Open document ID: 1238.91133 / rank
 
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Property / DOI: 10.1142/S0219024911006553 / rank
 
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Property / published in: International Journal of Theoretical and Applied Finance / rank
 
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24 April 2012
Timestamp+2012-04-24T00:00:00Z
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Property / publication date: 24 April 2012 / rank
 
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Property / Mathematics Subject Classification ID: 60J25 / rank
 
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Property / Mathematics Subject Classification ID: 91G20 / rank
 
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Property / zbMATH DE Number: 6027858 / rank
 
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Latest revision as of 10:22, 6 May 2024

scientific article; zbMATH DE number 6027858
Language Label Description Also known as
English
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
scientific article; zbMATH DE number 6027858

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    HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES (English)
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    29 April 2022
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    24 April 2012
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    time-inhomogeneous Markov processes
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    Lévy processes
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    heat kernels
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    pricing kernels
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    information-based pricing
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    interest rate models
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    fixed-income assets
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