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A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-05CRR Working Paper, Series BB-4p.1-21
Other Libraries in Japan
  • Subject HeadingApproximately complete markets Equilibrium pricing Forward m...

Implementing Arrow-Debreu Equilibria in Security Markets with Infinite Dimensional Martingale Generator

Implementing Arrow-Debreu Equilibria in Security Markets with Infinite Dimensional Martingale Generator
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-09CRR Working Paper, Series BB-1p.1-16
Other Libraries in Japan
  • Subject HeadingApproximately complete markets Approximate security market e...
  • Note (General)...librium in the approximately complete markets. identifier:CRR Working Paper...

General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator

General Equilibrium Analysis in Security Markets with Infinite Dimensional Martingale Generator
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2004-10CRR Working Paper, Series BB-2p.1-19
Other Libraries in Japan
  • Subject HeadingApproximately complete markets Approximate security market e...

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives

A Stochastic Volatility Jump-Diffusion LIBOR Market Model and General Equilibrium Pricing of Interest Rate Derivatives
Digital文書・図像類
Kusuda, KojiCenter for Risk Research (CRR), Shiga University2005-08CRR Working Paper, Series BB-7p.1-21
Other Libraries in Japan
  • Subject HeadingAffine jump-diffusion Approximately complete markets Equilibrium pricing Forward m...

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