Pricing Polish three-year bonds in the HJM framework

DOI10.4064/AM-27-4-411-417zbMATH Open1050.91517OpenAlexW90585743MaRDI QIDQ4523019FDOQ4523019

Authors: Piotr Sztuba 

Publication date: 7 January 2001

Published in: Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/219284

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30) Microeconomic theory (price theory and economic markets) (91B24)

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