Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals (Q514947)
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scientific article; zbMATH DE number 6693587
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| English | Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals |
scientific article; zbMATH DE number 6693587 |
Statements
Computation of Fredholm determinants for quadratic Ornstein-Uhlenbeck functionals (English)
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9 March 2017
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Ornstein-Uhlenbeck process
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quadratic Brownian functionals
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Fredholm expansions and equations
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Volterra operators
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Cox-Ingersoll-Ross model
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bond pricing
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0.8857225
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0.8660119
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0.85945094
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0.8556336
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0.8552399
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0.8551206
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0.85494673
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