What is the Natural Scale for a Lévy Process in Modelling Term Structure of Interest Rates?
Year of publication: |
2006
|
---|---|
Authors: | Akahori, Jirô ; Tsuchiya, Takahiro |
Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 13.2006, 4, p. 299-313
|
Publisher: |
Springer |
Subject: | State price density approach | Term structure models | Shirakawa model | Lévy process | Probability density |
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