A heat kernel approach to interest rate models - Research Collection

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Author

Teichmann, Josef

Tsuchiya, Takahiro

Date

2014-05-17

Type

Journal Article

Citations

Cited 8 times in Web of Science

ETH Bibliography

yes

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Publication status

published

External links

https://doi.org/10.1007/s13160-014-0147-3

Journal / series

Japan Journal of Industrial and Applied Mathematics

Volume

31(2)

Pages / Article No.

419 - 439

Publisher

Springer

Subject

Interest rate models; Markov-functional; State price density; Heat kernel

Organisational unit

03845 - Teichmann, Josef / Teichmann, Josef

Notes

Received 31 March 2014, Revised 23 April 2014, Published online 17 May 2014.

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Citations

Cited 8 times in Web of Science

ETH Bibliography

yes

Altmetrics