A comparison of single factor Markov-functional and multi factor market models
Year of publication: |
2010
|
---|---|
Authors: | Pietersz, Raoul ; Pelsser, Antoon André Jean |
Published in: |
Review of derivatives research. - Norwell, Mass. [u.a.] : Springer, ISSN 1380-6645, ZDB-ID 1387516-4. - Vol. 13.2010, 3, p. 245-272
|
Subject: | Zinsderivat | Interest rate derivative | Markov-Kette | Markov chain | Zinsstruktur | Yield curve | Theorie | Theory |
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