Valuation of bonds and options under floating interest rate

V. Adamjan, B. Pavlov


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.

bonds,interest rate,Marcov process

Math Review Classification

Last Updated
19 November 1999

20 pages

This article is available in: