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A time-varying Markov chain model of term structure

Author
MAMON, Rogemar S1
[1] Department of Statistics and Actuarial Science, Faculty of Mathematics, University of Waterloo, 200 University Avenue West, Waterloo, Ont., N2L 3G1, Canada
Source

Statistics & probability letters. 2002, Vol 60, Num 3, pp 309-312, 4 p ; ref : 7 ref

CODEN
SPLTDC
ISSN
0167-7152
Scientific domain
Mathematics
Publisher
Elsevier, Amsterdam
Publication country
Netherlands
Document type
Article
Language
English
Keyword (fr)
Approche probabiliste Chaîne Markov Finance Matrice transition Taux intérêt Variation temporelle Modèle structure terme
Keyword (en)
Probabilistic approach Markov chain Finance Transition matrix Interest rate Time variation Term structure modeling
Keyword (es)
Enfoque probabilista Cadena Markov Finanza Matriz transición Tasa interés Variación temporal
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01J Markov processes

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
14023430

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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