Interest rate models

• Autorzy: Andrzej Palczewski
• Języki publikacji: EN

Abstrakty

EN

This is a well-written survey paper on post-Heath-Jarrow-Morton interest rate models. The bond pricing and term structure are based on time-dependent continuous-time diffusions, and the main particular cases, including LIBOR and SWAP, are studied in detail.

PL

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Słowa kluczowe

EN

Finance, portfolios, investment; Diffusion processes

• Wydawca: Polish Mathematical Society
• Czasopismo: Mathematica Applicanda
• Rocznik: 2002
• Tom: 30
• Numer: 44/03

Daty

wydano

2002

online

2016-10-28

Twórcy

autor

Andrzej Palczewski

Identyfikatory

DOI

10.14708/ma.v30i44/03.1901