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In this survey on last passage times, we propose a new viewpoint which provides a unified approach to many different results which appear in the mathematical finance literature and in the theory of stochastic processes. In particular, we are able to improve the assumptions under which some...
Persistent link: https://www.econbiz.de/10010997072
This paper suggests a short term interest rate model. It incorporates inflation rate, market variance, market net growth rate and market volatility trend. Empirical evidence from different markets supports the model.
Persistent link: https://www.econbiz.de/10005184379