Forward transition rates

Buchardt, K; Furrer, C; Steffensen, M

Furrer, C (reprint author), PFA Pens, Sundkrogsgade 4, DK-2100 Copenhagen O, Denmark.; Furrer, C (reprint author), Univ Copenhagen, Dept Math Sci, Univ Pk 5, DK-2100 Copenhagen O, Denmark.

FINANCE AND STOCHASTICS, 2019; 23 (4): 975

Abstract

The idea of forward rates stems from interest rate theory. It has natural connotations to transition rates in multi-state models. The generalisation f......

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