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An Interest Rate Model with Upper and Lower Bounds · Study

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ArticleAn Interest Rate Model with Upper and Lower Bounds

Freddy Delbaen2002

Article2002

An Interest Rate Model with Upper and Lower Bounds

Freddy Delbaen · Hiroshi Shirakawa

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

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Stochastic processes and financial applications Financial Markets and Investment Strategies Mathematical functions and polynomials

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References

1985A Theory of the Term Structure of Interest Rates 1999Continuous Martingales and Brownian Motion 1991Continuous Martingales and Brownian Motion

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2024Local Lipschitz Continuity in the Initial Value and Strong Completeness for Nonlinear Stochastic Differential Equations 2007Chapter 6 Spectral Methods in Derivatives Pricing 2013Optimal Stopping and Early Exercise: An Eigenfunction Expansion Approach 2009Stochastic Volatility and Stochastic Leverage 2020Polynomial Jump-Diffusion Models 2018Polynomial processes in stochastic portfolio theory

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Year2002

Typearticle

Published2002-09-01

VenueAsia-Pacific Financial Markets

ISSN-L1380-2011

Languageen

Citations77

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1023/a:1024125430287

openalex_workW1481635279

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