HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
HEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSES
Finance at Fields, pp. 1-15 (2012) No AccessHEAT KERNEL INTEREST RATE MODELS WITH TIME-INHOMOGENEOUS MARKOV PROCESSESJIRÔ AKAHORI and ANDREA MACRINAJIRÔ AKAHORIDepartment of Mathematical Sciences, Ritsumeikan University, 1-1-1 Nojihigashi, Kusatsu 52-8577, Shiga, Japan and ANDREA MACRINADepartment of Mathematics, King's College London, London WC2R 2LS, United KingdomInstitute of Economic Research, Kyoto University, …