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  • Search: subject:"Heath–Jarrow–Morton approach"
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Subject
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Energiemarkt 2 Energy market 2 Energy markets 2 Heath-Jarrow-Morton approach 2 Option pricing theory 2 Optionspreistheorie 2 Yield curve 2 Zinsstruktur 2 Derivat 1 Derivative 1 Forwards 1 Heath–Jarrow–Morton approach 1 Infinite dimension 1 Interest rate derivative 1 Market models 1 Martingal 1 Martingale 1 Martingale property 1 Mean Reversion 1 Mean reversion 1 Mean-reversion 1 Model calibration 1 Neural networks 1 Neuronale Netze 1 Option pricing 1 Volatility 1 Volatilität 1 Zinsderivat 1 implied volatility 1 local volatility 1 tangent Lévy models 1
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Undetermined 3
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Article 3
Type of publication (narrower categories)
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Article in journal 2 Aufsatz in Zeitschrift 2
Language
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English 2 Undetermined 1
Author
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Benth, Fred Espen 2 CARMONA, RENÉ 1 Detering, Nils 1 Lavagnini, Silvia 1 NADTOCHIY, SERGEY 1 Piccirilli, Marco 1 Vargiolu, Tiziano 1
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Digital finance : smart data analytics, investment innovation, and financial technology 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 Mathematics and financial economics 1
Source
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ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Accuracy of deep learning in calibrating HJM forward curves
Benth, Fred Espen; Detering, Nils; Lavagnini, Silvia - In: Digital finance : smart data analytics, investment … 3 (2021) 3/4, pp. 209-248
Persistent link: https://www.econbiz.de/10012697962
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Mean-reverting additive energy forward curves in a Heath-Jarrow-Morton framework
Benth, Fred Espen; Piccirilli, Marco; Vargiolu, Tiziano - In: Mathematics and financial economics 13 (2019) 4, pp. 543-577
Persistent link: https://www.econbiz.de/10012055877
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TANGENT MODELS AS A MATHEMATICAL FRAMEWORK FOR DYNAMIC CALIBRATION
CARMONA, RENÉ; NADTOCHIY, SERGEY - In: International Journal of Theoretical and Applied … 14 (2011) 01, pp. 107-135
Motivated by the desire to integrate repeated calibration procedures into a single dynamic market model, we introduce the notion of a "tangent model" in an abstract set up, and we show that this new mathematical paradigm accommodates all the recent attempts to study consistency and absence of...
Persistent link: https://www.econbiz.de/10008862298
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