Random step functions model for interest rates

DOI10.1007/s007800200080zbMath1035.60086MaRDI QIDQ1424709

Fima C. Klebaner, Konstantin A. Borovkov, Eleanor Virag

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1007/s007800200080

zbMATH Keywords

jump processes; bonds; interest rates model; Markov point processes; options on bonds

Mathematics Subject Classification ID

60K15: Markov renewal processes, semi-Markov processes

91G30: Interest rates, asset pricing, etc. (stochastic models)

60G55: Point processes (e.g., Poisson, Cox, Hawkes processes)