SELF EXCITING THRESHOLD INTEREST RATES MODELS

DOI10.1142/S0219024906003937zbMath1140.91384OpenAlexW3122953959MaRDI QIDQ3421826

Marc Decamps, Wim Schoutens, Marc J. Goovaerts

Publication date: 8 February 2007

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024906003937

zbMATH Keywords

interest ratesmarket modelseigenfunction expansionsskew Brownian motionstate-price densitySETAR

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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