Short rate analysis and marked point processes

descriptionPublicationkeyboard_double_arrow_right Article 17 Aug 1999 China (People's Republic of), Australia Publisher:Springer Science and Business Media LLCJournal:Mathematical Methods of Operations Research (ZOR), volume 50, pages 149-160 (issn: 1432-2994, eissn: 1432-5217,

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Authors: Elliott, R.; Tsoi, A.; Lui, S.;

doi: 10.1007/s001860050041

handle: 2440/579

Short rate analysis and marked point processes

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Abstract

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Countries

China (People's Republic of), Australia

Related Organizations

Hong Kong Polytechnic University
China (People's Republic of)
University of Alberta
Canada
Hong Kong University of Science and Technology (香港科技大學)
China (People's Republic of)
University of Adelaide
Australia

Keywords

Marked point process, Spot interest rate, discount bond price, Partial differential difference equation, Discount bond price, partial differential difference equation, Point processes (e.g., Poisson, Cox, Hawkes processes), marked point process, Finance etc., spot interest rate

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