Matches in SemOpenAlex for { <https://semopenalex.org/work/W1999858340> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W1999858340 abstract "We derive the exact solution of a one-dimensional Markov functional model with log-normally distributed interest rates and constant volatility in the terminal measure. The model is shown to have two distinct limiting states, corresponding to small and asymptotically large volatilities, respectively. These volatility regimes are separated by a phase transition at some critical value of the volatility, at which certain expectation values display non-analytical behavior as a function of volatility. We investigate the conditions under which this phase transition occurs, and show that it is related to the position of the zeros of an appropriately defined generating function in the complex plane, in analogy with the Lee-Yang theory of the phase transitions in condensed matter physics." @default.
- W1999858340 created "2016-06-24" @default.
- W1999858340 creator A5007027781 @default.
- W1999858340 date "2010-07-05" @default.
- W1999858340 modified "2023-09-23" @default.
- W1999858340 title "Phase Transition in a Log-Normal Markov Functional Model" @default.
- W1999858340 cites W1524383063 @default.
- W1999858340 cites W1575658391 @default.
- W1999858340 cites W1839187988 @default.
- W1999858340 cites W1990008382 @default.
- W1999858340 cites W2009768419 @default.
- W1999858340 cites W2015140058 @default.
- W1999858340 cites W2024296014 @default.
- W1999858340 cites W2127386934 @default.
- W1999858340 cites W2956412360 @default.
- W1999858340 cites W2990101013 @default.
- W1999858340 cites W3003303647 @default.
- W1999858340 cites W3123653736 @default.
- W1999858340 hasPublicationYear "2010" @default.
- W1999858340 type Work @default.
- W1999858340 sameAs 1999858340 @default.
- W1999858340 citedByCount "0" @default.
- W1999858340 crossrefType "posted-content" @default.
- W1999858340 hasAuthorship W1999858340A5007027781 @default.
- W1999858340 hasConcept C105795698 @default.
- W1999858340 hasConcept C121332964 @default.
- W1999858340 hasConcept C121864883 @default.
- W1999858340 hasConcept C127413603 @default.
- W1999858340 hasConcept C149288129 @default.
- W1999858340 hasConcept C149782125 @default.
- W1999858340 hasConcept C159886148 @default.
- W1999858340 hasConcept C188198153 @default.
- W1999858340 hasConcept C33923547 @default.
- W1999858340 hasConcept C78519656 @default.
- W1999858340 hasConcept C91602232 @default.
- W1999858340 hasConcept C97355855 @default.
- W1999858340 hasConcept C98763669 @default.
- W1999858340 hasConceptScore W1999858340C105795698 @default.
- W1999858340 hasConceptScore W1999858340C121332964 @default.
- W1999858340 hasConceptScore W1999858340C121864883 @default.
- W1999858340 hasConceptScore W1999858340C127413603 @default.
- W1999858340 hasConceptScore W1999858340C149288129 @default.
- W1999858340 hasConceptScore W1999858340C149782125 @default.
- W1999858340 hasConceptScore W1999858340C159886148 @default.
- W1999858340 hasConceptScore W1999858340C188198153 @default.
- W1999858340 hasConceptScore W1999858340C33923547 @default.
- W1999858340 hasConceptScore W1999858340C78519656 @default.
- W1999858340 hasConceptScore W1999858340C91602232 @default.
- W1999858340 hasConceptScore W1999858340C97355855 @default.
- W1999858340 hasConceptScore W1999858340C98763669 @default.
- W1999858340 hasLocation W19998583401 @default.
- W1999858340 hasOpenAccess W1999858340 @default.
- W1999858340 hasPrimaryLocation W19998583401 @default.
- W1999858340 hasRelatedWork W1515284591 @default.
- W1999858340 hasRelatedWork W1817630569 @default.
- W1999858340 hasRelatedWork W1987977794 @default.
- W1999858340 hasRelatedWork W2069419970 @default.
- W1999858340 hasRelatedWork W2090203471 @default.
- W1999858340 hasRelatedWork W2092274536 @default.
- W1999858340 hasRelatedWork W2122567683 @default.
- W1999858340 hasRelatedWork W2162316381 @default.
- W1999858340 hasRelatedWork W2205534403 @default.
- W1999858340 hasRelatedWork W221758162 @default.
- W1999858340 hasRelatedWork W2316846707 @default.
- W1999858340 hasRelatedWork W2319202848 @default.
- W1999858340 hasRelatedWork W2586962102 @default.
- W1999858340 hasRelatedWork W2890584651 @default.
- W1999858340 hasRelatedWork W2950994442 @default.
- W1999858340 hasRelatedWork W2953281434 @default.
- W1999858340 hasRelatedWork W3098316746 @default.
- W1999858340 hasRelatedWork W3124495278 @default.
- W1999858340 hasRelatedWork W3136208472 @default.
- W1999858340 hasRelatedWork W3210046587 @default.
- W1999858340 isParatext "false" @default.
- W1999858340 isRetracted "false" @default.
- W1999858340 magId "1999858340" @default.
- W1999858340 workType "article" @default.