Interest rate models

Andrzej Palczewski

Mathematica Applicanda (2002)

  • Volume: 30, Issue: 44/03
  • ISSN: 1730-2668

Abstract

top
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.

How to cite

top

Andrzej Palczewski. "Interest rate models." Mathematica Applicanda 30.44/03 (2002): null. <http://eudml.org/doc/293388>.

@article{AndrzejPalczewski2002,
abstract = {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.},
author = {Andrzej Palczewski},
journal = {Mathematica Applicanda},
keywords = {Finance, portfolios, investment; Diffusion processes},
language = {eng},
number = {44/03},
pages = {null},
title = {Interest rate models},
url = {http://eudml.org/doc/293388},
volume = {30},
year = {2002},
}

TY - JOUR
AU - Andrzej Palczewski
TI - Interest rate models
JO - Mathematica Applicanda
PY - 2002
VL - 30
IS - 44/03
SP - null
AB - 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.
LA - eng
KW - Finance, portfolios, investment; Diffusion processes
UR - http://eudml.org/doc/293388
ER -

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.