Theory and calibration of HJM with shape factors

Andrea Roncoroni and Paolo Guiotto

Year of publication:	2002
Authors:	Roncoroni, Andrea ; Guiotto, Paolo
Published in:	Mathematical finance - Bachelier Congress, 2000 : selected papers from the first World Congress of the Bachelier Finance Society, Paris, June 29 - July 1, 2000. - Berlin [u. a.] : Springer, ISBN 3-540-67781-X. - 2002, p. 407-426
Subject:	Zinsstruktur \| Yield curve \| Arbitrage Pricing \| Arbitrage pricing \| Schätztheorie \| Estimation theory \| Modellierung \| Scientific modelling \| Theorie \| Theory \| Hauptkomponentenanalyse \| Principal component analysis

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