Interest rate modeling with generalized Langevin equations (Q6179289)
From MaRDI portal
scientific article; zbMATH DE number 7789479
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest rate modeling with generalized Langevin equations |
scientific article; zbMATH DE number 7789479 |
Statements
Interest rate modeling with generalized Langevin equations (English)
0 references
16 January 2024
0 references
forward measure
0 references
forward rate
0 references
generalized/retarded Langevin equation
0 references
market-consistent calibration
0 references
option pricing
0 references
short rate
0 references
zero-coupon bond price
0 references
0 references
0 references
