Markov interest rate models

DOI10.1080/13504869950079275zbMath1009.91037OpenAlexW2023403063MaRDI QIDQ4541579

Diana E. Woodward, Patrick S. Hagan

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504869950079275

zbMATH Keywords

state variableg-m modelsmarked pricesMarkovian interest rate modelsswaption prices

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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Cites Work

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• Martingales and stochastic integrals in the theory of continuous trading
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• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Pricing Interest-Rate-Derivative Securities