A heat kernel approach to interest rate models-Reference-Cited by-同舟云学术

A heat kernel approach to interest rate models

Published:2014-05-17 Issue:2 Volume:31 Page:419-439
ISSN:0916-7005
Container-title:Japan Journal of Industrial and Applied Mathematics
language:en
Short-container-title:Japan J. Indust. Appl. Math.

Author:

Akahori Jirô,Hishida Yuji,Teichmann Josef,Tsuchiya Takahiro

Publisher

Springer Science and Business Media LLC

Subject

Applied Mathematics,General Engineering

Link

http://link.springer.com/content/pdf/10.1007/s13160-014-0147-3.pdf

Reference13 articles.

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2. Akahori, J., Tsuchiya, T.: What is the natural scale for a Lévy process in modelling term structure of interest rates? Asia-Pac. Finan. Markets 13(4), 299–313 (2006)

3. Brigo, D., Mercurio, F.: Interest Rate Models, Theory and Practice: with Smile, Inflation and Credit (Springer Finance). Springer, New York (2006)

4. Cont, R., Tankov, P.: Financial Modelling with Jump Processes. hapman & Hall/CRC Financial Mathematics Series, Chapman & Hall/CRC, Boca Raton (2004)

5. Flesaker, B., Hughston, L.: Positive interest. Risk Mag. 9(1), 46–49 (1992)

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