scientific article; zbMATH DE number 1487971

MaRDI QIDQ4495100zbMATH OpenFDO

Authors Yacine Aït-Sahalia

Publication date 10 August 2000

zbMATH Keywords

closed-form approximationsdiffusioninterest rate modelstransition function

Mathematics Subject Classification ID

Transition functions, generators and resolvents (60J35) Diffusion processes (60J60) Stochastic models in economics (91B70)

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• Reprojecting Partially Observed Systems with Application to Interest Rate Diffusions
• Approximation methods for inhomogeneous geometric Brownian motion
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