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Random step functions model for interest rates |
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| Authors: | Konstantin Borovkov Fima C. Klebaner Eleanor Virag |
| Affiliation: | (1) Department of Mathematics and Statistics, University of Melbourne, Melbourne, Victoria 3010, Australia (e-mail: kostya@ms.unimelb.edu.au) , AU;(2) Monash University, School of Mathematical Sciences, Melbourne, Victoria 3800, Australia (e-mail: fima.klebaner@sci.monash.edu.au) , AU;(3) ANZ Bank, Melbourne, Victoria 3010, Australia , AU |
| Abstract: | |
| Keywords: | : Interest rates models Markov point processes jump processes bonds options on bonds |
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