Exponential change of measure applied to term structures of interest rates and exchange rates
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Publication:634008
DOI10.1016/j.insmatheco.2011.04.004zbMath1218.91159MaRDI QIDQ634008
Publication date: 2 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.04.004
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91G30: Interest rates, asset pricing, etc. (stochastic models)
44A10: Laplace transform
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Cites Work
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