Random step functions model for interest rates

Konstantin Borovkov, Fima C Klebaner, Eleanor Virag

Research output: Contribution to journal › Article › Research › peer-review

Cite this

@article{942cb6f55f074483b09a39b02a301ecf,

title = "Random step functions model for interest rates",

author = "Konstantin Borovkov and Klebaner, {Fima C} and Eleanor Virag",

year = "2003",

language = "English",

volume = "7",

pages = "123 -- 143",

journal = "Finance and Stochastics",

issn = "0949-2984",

publisher = "Springer-Verlag London Ltd.",

number = "1",

}