A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
Year of publication: |
2004-09-01
|
---|---|
Authors: | Chiarella, Carl ; Nikitopoulos-Sklibosios, Christina |
Institutions: | Finance Discipline Group, Business School |
Subject: | Markovian HJM model | jump-diffusions | state dependent volatility |
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