Thesis
Markov Functional Market Model nd Standard Market Model
- Abstract:
-
The introduction of so called Market Models (BGM) in 1990s has developed the world of interest rate modelling into a fresh period. The obvious advantages of the market model have generated a vast amount of research on the market model and recently a new model, called Markov functional market model, has been developed and is becoming increasingly popular. To be clearer between them, the former is called standard market model in this paper. Both standard market models and Markov functional mar...
Expand abstract
Actions
Authors
Bibliographic Details
- Publisher:
- University of Oxford;Mathematics
- Publication date:
- 2008-06-01
Item Description
- UUID:
-
uuid:09eb62a6-4a35-4db3-bca3-d5c5b69e5226
- Local pid:
- oai:eprints.maths.ox.ac.uk:704
- Deposit date:
- 2011-05-19
Related Items
Terms of use
- Copyright holder:
- Sun, T
- Copyright date:
- 2008
Metrics
If you are the owner of this record, you can report an update to it here: Report update to this record