Small-noise limit of the quasi-Gaussian log-normal HJM model
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Publication:1727938
DOI10.1016/j.orl.2016.10.012zbMath1409.60102arXiv1908.07098OpenAlexW2548622653MaRDI QIDQ1727938
Publication date: 21 February 2019
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1908.07098
Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Ordinary differential equations and systems with randomness (34F05)
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