A note on the Flesaker-Hughston model of the term structure of interest rates
From MaRDI portal
Publication:4541544
DOI10.1080/135048697334782zbMath1009.91020MaRDI QIDQ4541544
Publication date: 4 September 2002
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/135048697334782
Related Items
LÉVY–VASICEK MODELS AND THE LONG-BOND RETURN PROCESS, SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST, Entropy and information in the interest rate term structure, A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING, COHERENT CHAOS INTEREST-RATE MODELS, Pensionmetrics: Stochastic pension plan design and value-at-risk during the accumulation phase, A joint stock and bond market based on the hyperbolic Gaussian model, Rational term structure models with geometric Lévy martingales, THE MULTI-CURVE POTENTIAL MODEL, Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
Cites Work