A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
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Publication:5696856
DOI10.1142/S0219024903001852zbMath1079.91027MaRDI QIDQ5696856
Robert J. Elliott, Rogemar S. Mamon
Publication date: 19 October 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
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Cites Work
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- Mathematics of financial markets
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- An Intertemporal General Equilibrium Model of Asset Prices
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Mortgages and Markov Chains: A Simplified Evaluation Model
- An equilibrium characterization of the term structure
- Markov-functional interest rate models
- Stochastic flows and the forward measure
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