Markov-functional interest rate models

被引：1
|
作者：
Phil Hunt
Joanne Kennedy
Antoon Pelsser
机构：
[1] Global Derivatives and Fixed Income Markets,
[2] Westdeutsche Landesbank Girozentrale,undefined
[3] 33/36 Gracechurch Street,undefined
[4] London EC3V 0AX,undefined
[5] United Kingdom (e-mail: phil_hunt@westlb.co.uk) ,undefined
[6] Department of Statistics,undefined
[7] University of Warwick,undefined
[8] Coventry CV4 7AL,undefined
[9] United Kingdom (e-mail: j.e.kennedy@warwick.ac.uk) ,undefined
[10] Structured Products Group (AA4410),undefined
[11] ABN-Amro Bank,undefined
[12] P.O. Box 283,undefined
[13] 1000 EA Amsterdam,undefined
[14] The Netherlands (e-mail: pelsser@few.eur.nl) and Department of Finance,undefined
[15] Erasmus University Rotterdam,undefined
[16] P.O. Box 1738,undefined
[17] 3000 DR Rotterdam,undefined
[18] The Netherlands ,undefined
来源：
Finance and Stochastics | 2000年 / 4卷 / 4期
关键词：
Key words:Yield curve modelling, derivatives pricing, Markov processes; JEL Classification: G13, E43; Mathematics Subject Classification (1991): 60G44, 60J25, 90A09;
D O I：
10.1007/PL00013525
中图分类号：
学科分类号：
摘要：
引用
收藏
页码：391 / 408
页数：17
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