Stochastic Interest Rate Modeling with Fixed Income Derivative Pricing

DOI10.1142/12000MaRDI QIDQ3388120zbMATH OpenOpenAlexFDO

Authors Nicolas Privault

Publication date 9 January 2021

Published in Advanced Series on Statistical Science & Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/12000

zbMATH Keywords

stochastic interest rate modeling

Mathematics Subject Classification ID

Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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(16)

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• An empirical analysis of spot and forward interest rates in seven European countries via principal component analysis and the Malliavin-Mancino method

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