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Squared Bessel Processes and Their Applications to the Square Root Interest Rate Model · Study

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ArticleSquared Bessel Processes and Their Applications to the Square Root Interest Rate Model

Hiroshi Shirakawa2002

Article2002

Squared Bessel Processes and Their Applications to the Square Root Interest Rate Model

Hiroshi Shirakawa

43 citations·0/0 files stored·Asia-Pacific Financial Markets

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Stochastic processes and financial applications Financial Markets and Investment Strategies Stochastic processes and statistical mechanics

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References

1985A Theory of the Term Structure of Interest Rates 2007Brownian Motion and Stochastic Calculus 1999Continuous Martingales and Brownian Motion 1981Martingales and stochastic integrals in the theory of continuous trading 1990Pricing Interest-Rate-Derivative Securities 1991Continuous Martingales and Brownian Motion 1988Brownian Motion and Stochastic Calculus 1993BESSEL PROCESSES, ASIAN OPTIONS, AND PERPETUITIES

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2013Pricing catastrophe risk bonds: A mixed approximation method 2003A stability result for the HARA class with stochastic interest rates

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Year2002

Typearticle

Published2002-09-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations43

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1024173313448

openalex_workW102245012

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