Rational term structure models with geometric Lévy martingales-Reference-Cited by-同舟云学术

Rational term structure models with geometric Lévy martingales

Published:2012-06-25 Issue:5-6 Volume:84 Page:719-740
ISSN:1744-2508
Container-title:Stochastics
language:en
Short-container-title:Stochastics

Author:

Brody Dorje C.¹,Hughston Lane P.²³,Mackie Ewan⁴⁵

Affiliation:

1. a Mathematical Sciences, Brunel University , Uxbridge , UB8 3PH , UK

2. b Department of Mathematics , University College London , London , WC1E 6BT , UK

3. c Department of Mathematics , Imperial College London , London , SW7 2BZ , UK

4. d Instituto Nacional de Matimática Pura e Aplicada , Estrada Dona Castorina 110, Jardim Botânico, Rio de Janeiro , 22460-320 , Brazil

5. e Imperial College Business School , London , SW7 2BZ , UK

Publisher

Informa UK Limited

Subject

Modeling and Simulation,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/17442508.2012.689835

Reference60 articles.

1. Towards a general theory of bond markets

2. Bond Market Structure in the Presence of Marked Point Processes

3. D.C. Brody and R. Freidman, Information of interest, Risk Mag. December issue, pp. 101–106 (2009); reprinted in Life & Pensions, February issue, pp. 35–40 (2010)

4. Interest rates and information geometry

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