Randomised mixture models for pricing kernels
Year of publication: |
2014
|
---|---|
Authors: | Macrina, Andrea ; Parbhoo, Priyanka A. |
Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 21.2014, 4, p. 281-315
|
Subject: | Asset pricing | Interest rates | Yield curves | Markov processes | Esscher martingales | Weighted heat kernels | Zinsstruktur | Yield curve | CAPM | Markov-Kette | Markov chain | Optionspreistheorie | Option pricing theory | Martingal | Martingale | Zins | Interest rate |
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