Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Haitao Li, Xiaoxia Ye, Fan Yu
| Year of publication: |
2020
|
|---|---|
| Authors: | Li, Haitao ; Ye, Xiaoxia ; Yu, Fan |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 286.2020, 3 (1.11.), p. 1153-1167
|
| Subject: | Finance | Finite dimensional realizations | Gaussian dynamic term structure Models | HJM | Interest rate derivatives | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Derivat | Derivative | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2020.04.015 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012291633