A heat kernel approach to interest rate models
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Author / Producer
Date
2014-05-17
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Rights / License
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Publication status
published
External links
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Book title
Journal / series
Volume
31 (2)
Pages / Article No.
419 - 439
Publisher
Springer
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
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.