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continuous-time
Continuous-time random walk
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Duration
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Fractional calculus
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Statistical finance
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arbitrage
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continuous-time financial markets
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pricing of contingent claims
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tameness
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Continuous time Markov processes
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continuous-time models
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diffusions
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discrete time sampling
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University of Rochester - Center for Economic Research (RCER)
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Facultat d'Economia i Empresa, Universitat de Barcelona
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Is the Short Rate Drift Actually Nonlinear?
Chapman, David A.
;
Pearson, Neil D.
-
EconWPA
-
1998
Virtually all existing
continuous-time
, single-factor term structure models are based on a short rate process that has …
Persistent link: https://www.econbiz.de/10005561764
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