scientific article; zbMATH DE number 1310348

MaRDI QIDQ4254409zbMATH OpenFDO

Authors Jirô Akahori

Publication date 20 February 2000

zbMATH Keywords

stochastic integral equationno-arbitrage interest rate model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic integral equations (60H20)

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Cited in

(3)

• Some estimates on exponentials of solutions to stochastic differential equations
• Explosion in the quasi-Gaussian HJM model
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor

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