SELF EXCITING THRESHOLD INTEREST RATES MODELS
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Publication:3421826
DOI10.1142/S0219024906003937zbMath1140.91384MaRDI QIDQ3421826
Wim Schoutens, Marc J. Goovaerts, Marc Decamps
Publication date: 8 February 2007
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
interest rates; market models; eigenfunction expansions; skew Brownian motion; state-price density; SETAR
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60H30: Applications of stochastic analysis (to PDEs, etc.)
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Cites Work
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