Descriptor
| Bond Issues | 1 |
| Computation | 1 |
| Equations (Mathematics) | 1 |
| Factor Analysis | 1 |
| Mathematical Formulas | 1 |
| Structural Equation Models | 1 |
Source
| International Journal of… | 1 |
Author
| Mamon, Rogemar S. | 1 |
Publication Type
| Journal Articles | 1 |
| Numerical/Quantitative Data | 1 |
| Reports - Descriptive | 1 |
Education Level
Audience
Location
Laws, Policies, & Programs
Assessments and Surveys
What Works Clearinghouse Rating
Peer reviewed
Direct linkMamon, Rogemar S. – International Journal of Mathematical Education in Science and Technology, 2004
Within the general framework of a multifactor term structure model, the fundamental partial differential equation (PDE) satisfied by a default-free zero-coupon bond price is derived via a martingale-oriented approach. Using this PDE, a result characterizing a model belonging to an exponential affine class is established using only a system of…
Descriptors: Factor Analysis, Structural Equation Models, Bond Issues, Computation
