Heat kernel models for asset pricing
Year of publication: |
2014
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Authors: | 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. 17.2014, 7, p. 1-34
|
Subject: | Asset pricing | pricing kernel | Markov processes | Lévy random bridges | equity | interest rates | debt | spread dynamics | contagion | CAPM | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Markov-Kette | Markov chain | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price | Zins | Interest rate | Risikoprämie | Risk premium |
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