On the construction of finite dimensional realizations for nonlinear forward rate models
Year of publication: |
2002-05-17
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Authors: | Landén, Camilla ; Björk, Tomas |
Published in: |
Finance and Stochastics. - Springer. - Vol. 6.2002, 3, p. 303-331
|
Publisher: |
Springer |
Subject: | HJM models | factor models | forward rates | state space models | Markovian realizations |
Extent: | application/pdf |
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Type of publication: | Article |
Notes: | received: January 2001; final version received: August 2001 |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas, (2002)
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Finite dimensional Markovian realizations for stochastic volatility forward rate models
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On the construction of finite dimensional realizations for nonlinear forward rate models
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