Explosive behavior in a log-normal interest rate model
Year of publication: |
2013
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Authors: | Pirjol, Dan |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 16.2013, 4, p. 1-23
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Subject: | Short rate models | log-normal interest rate models | Markov functional model | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Zins | Interest rate | Markov-Kette | Markov chain | CAPM | Optionspreistheorie | Option pricing theory |
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