Markov-functional interest rate models

DOI10.1007/PL00013525MaRDI QIDQ5926473zbMATH OpenOpenAlexFDO

Authors Phil Hunt, Joanne E. Kennedy, Antoon Pelsser

Publication date 1 March 2001

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/pl00013525

zbMATH Keywords

yield curve modelling, derivatives pricing, Markov processes

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Continuous-time Markov processes on general state spaces (60J25)

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