Affine representations of fractional processes with applications in mathematical finance

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Author
Harms, Philipp
Stefanovits, David
Date
2015-10-14
Type
    Working Paper
Publication status
published
External links
Journal / series
arXiv
Pages / Article No.
1510.04061
Publisher
Cornell University
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef  
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)  
Funding
149879 - Prediction Theory of term structure models (SNF)
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ETH Bibliography
yes
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