Exponential martingales and CIR model

MaRDI QIDQ3534757zbMATH OpenFDO

Authors Wojciech Szatzschneider

Publication date 4 November 2008

zbMATH Keywords

exponential martingalesGirsanov theoremrisk premiasquare root processes

Mathematics Subject Classification ID

Martingales and classical analysis (60G46) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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(2)

• Skew CIR process, conditional characteristic function, moments and bond pricing
• Some Properties of CIR Processes

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