The Asset Pricing When the Interest Rates are Differentiable Stochastic Processes
Year of publication: |
2009
|
---|---|
Authors: | Medvedev, Gennady |
Publisher: |
[2009]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Zinsstruktur | Yield curve | CAPM |
Extent: | 1 Online-Ressource (20 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | In: 11th Annual International AFIR Symposium, Vol. 2, pp. 517-536, Toronto, 2001 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 7, 2001 erstellt |
Classification: | G12 - Asset Pricing ; C49 - Econometric and Statistical Methods: Special Topics. Other ; C32 - Time-Series Models |
Source: | ECONIS - Online Catalogue of the ZBW |
-
Ahrens, Ralf, (1999)
-
The Processes with Dependent Increments as Mathematical Models of the Interest Rate Processes
Medvedev, Gennady, (2009)
-
Modeling Persistent Interest Rates with Volatility-Induced Stationarity
Hansen, Anne Lundgaard, (2019)
- More ...
-
On Yield Curves of the European Central Bank
Medvedev, Gennady, (2017)
-
On Quadratic Models of Yield in Risk-Neutral World
Medvedev, Gennady, (2017)
-
The Longstaff – Schwartz Model of Yield Term Structure and its Expansion
Medvedev, Gennady, (2017)
- More ...