Markov Functional One Factor Interest Rate Model Implementation in QuantLib
| Year of publication: |
2013
|
|---|---|
| Authors: | Caspers, Peter |
| Publisher: |
[2013]: [S.l.] : SSRN |
| Subject: | Markov-Kette | Markov chain | Zins | Interest rate | Zinsstruktur | Yield curve | Schätzung | Estimation | Optionspreistheorie | Option pricing theory |
| Description of contents: |
We describe the implementation of a Markov functional one factor interest rate model in the QuantLib framework
|
freely available
| Extent: | 1 Online-Ressource (16 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 14, 2013 erstellt |
| Other identifiers: | 10.2139/ssrn.2183721 [DOI] |
| Classification: | C00 - Mathematical and Quantitative Methods. General |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013089532