Markov-functional interest rate models
From MaRDI portal
Publication:5926473
DOI10.1007/PL00013525zbMath1066.60045MaRDI QIDQ5926473
Antoon Pelsser, Phil Hunt, Joanne Kennedy
Publication date: 1 March 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013525
60J25: Continuous-time Markov processes on general state spaces
60G44: Martingales with continuous parameter
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