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Short rate analysis and marked point processes |
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| Authors: | Robert J Elliott Allanus H Tsoi Shiu Hong Lui |
| Institution: | (1) Department of Mathematical Sciences, University of Alberta, Edmonton, Alberta, Canada T6G 2G1 (e-mail: relliott@ualberta.ca), CA;(2) Department of Mathematics, Hong Kong University of Science & Technology, Clear Water Bay, Kowloon, Hong Kong (e-mail: matsoi@ust.hk; shlui@ust.hk), HK |
| Abstract: | |
| Keywords: | : Marked point process spot interest rate partial differential difference equation discount bond price |
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