@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 -
