Random step functions model for interest rates.

Konstantin Borovkov Fima C. Klebaner Eleanor Virag

Published in: Finance Stochastics (2003)

Keyphrases

computational model
prediction model
theoretical framework
probabilistic model
real time
mathematical model
least squares
state space
prior knowledge
objective function
database
markov chain
access control
similarity measure
statistical model
conceptual model
sensitivity analysis
formal model