| The evolution operators, generators of which contain a numerical parameter forming a Markov process, are considered in connection with problems of financial mathematics. Under certain conditions the exact and explicit expressions for the values of the evolution operators averaged over trajectories of the process and for the corresponding variances are derived.Obtained results are applied for valuation of some financial products with account of floating interest rates. |
Keywords
bonds,interest rate,Marcov process
Math Review Classification
Last Updated
19 November 1999
Length
20 pages
Availability
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