Binomial models for interest rates

DOI10.1007/978-3-642-03479-4_18zbMATH Open1217.91193OpenAlexW98730433MaRDI QIDQ3000889FDOQ3000889

John van der Hoek

Publication date: 31 May 2011

Published in: Contemporary Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-03479-4_18

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Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cited In (2)

• Probability Properties of Interest Rate Models
• Recombining Binomial Tree Approximations for Diffusions

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