Heat kernel interest rate models with time-inhomogeneous Markov processes
Year of publication: |
2012
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Authors: | Akahori, Jirô ; Macrina, Andrea |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 1, p. 1-15
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Subject: | Time-inhomogeneous Markov processes | Lévy processes | heat kernels; pricing kernels | information-based pricing | interest rate models | fixed-income assets | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Zins | Interest rate |
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