Markovian term structure models in discrete time
نویسندگان
چکیده
منابع مشابه
Markovian Term Structure Models in Discrete Time
In this article we discuss Markovian term structure models in discrete time and with continuous state space. More precisely, we are concerned with the structural properties of such models if one has the Markov property for a part of the forward curve. We investigate the two cases where these parts are either a true subset of the forward curve, including the short rate, or the entire forward cur...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2002
ISSN: 1050-5164
DOI: 10.1214/aoap/1026915622