Finite dimensional realizations of forward price term structure models
Year of publication: |
2004
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Authors: | Gaspar, Raquel M. |
Publisher: |
Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI) |
Subject: | Zinsstrukturtheorie | Markovscher Prozess | Termingeschäft | Stochastischer Prozess | Forward prices | term structures | state space models | Markovian realizations | HJM models |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 474173771 [GVK] hdl:10419/56225 [Handle] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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On Finite Dimensional Realizations of Forward Price Term Structure Models
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On the geometry of interest rate models
Björk, Tomas, (2003)
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On the construction of finite dimensional realizations for nonlinear forward rate models
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General quadratic term structures of bond, futures and forward prices
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