scientific article; zbMATH DE number 1253582

MaRDI QIDQ4226828zbMATH OpenFDO

Authors

Publication date 23 February 1999

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(10)

• Theory of Cryptocurrency Interest Rates
• Pseudo-Poissonian processes with stochastic intensity and a class of processes generalizing the Ornstein-Uhlenbeck process
• A numerical PDE approach for pricing callable bonds
• Interest rate term structure modelling
• Social discounting and the long rate of interest
• Analyzing short-rate models for efficient bond option pricing: a review
• Modeling fixed income securities and interest rate options
• On the use of boundary conditions for variational formulations arising in financial mathematics.
• On the resolution of the Vasicek-type interest rate model
• Lévy-Ito models in finance

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