FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
type: Item
instance of: scholarly article
title: FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
zbMATH Open document ID: 0866.90014
author: Antoine Frachot
published in: Mathematical Finance
publication date: 1997-03-23T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 994124
zbMATH Keywords: two-country economy
zbMATH Keywords: term structure dynamics
zbMATH Keywords: exchange rate process
MaRDI profile type: MaRDI publication profile
full work available at URL: j.1467-9965.1995.tb00108.x
OpenAlex ID: W2056653211
cites work: ARCH modeling in finance. A review of the theory and empirical evidence
cites work: A theory of the term structure of interest rates
cites work: A yield-factor model of interest rates.
cites work: Martingales and arbitrage in multiperiod securities markets
cites work: Martingales and stochastic integrals in the theory of continuous trading
cites work: Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
DOI: 10.1111/J.1467-9965.1995.TB00108.X
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description: scientific article; zbMATH DE number 994124