On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models
From MaRDI portal
Publication:5938030
DOI10.1016/S0167-6687(00)00068-8zbMath1054.91047WikidataQ126622018 ScholiaQ126622018MaRDI QIDQ5938030
Publication date: 2001
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Related Items
Convexity theory for the term structure equation ⋮ Wicksellian theory of forest rotation under interest rate variability
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Zero coupon bonds and affine term structures: Reconsidering the one-factor model
- Volatility misspecification, option pricing and superreplication via coupling
- A Theory of the Term Structure of Interest Rates
- An Asymptotic Theory of Growth Under Uncertainty
- Robustness of the Black and Scholes Formula
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Stochastic differential equations. An introduction with applications.