Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
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Publication:5936316
DOI10.1007/PL00013533zbMath0972.60058MaRDI QIDQ5936316
Publication date: 11 July 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013533
91B24: Microeconomic theory (price theory and economic markets)
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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