On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models

Insurance: Mathematics and Economics

Volumn 28, Issue 1, 2001, Pages 83-90

  Alvarez, Luis H R ^a  

^a UNIVERSITY OF TURKU   (Finland)

Author keywords

35K15; 60J60; 90A09; E43; G12; G13; Increased volatility; Linear diffusions; Price of T claims; Term structure; Zero coupon bonds

Indexed keywords

EID: 0038463322     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0167-6687(00)00068-8     Document Type: Article

References (12)

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