Arbitrage-free multifactor term structure models : a theory based on stochastic control
Andrea Gombani; Wolfgang J. Runggaldier
| Year of publication: |
2013
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| Authors: | Gombani, Andrea ; Runggaldier, Wolfgang J. |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 23.2013, 4, p. 659-686
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| Subject: | multifactor term structures | bond option pricing | stochastic control | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Derivat | Derivative | CAPM | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010187681