A multiobjective approach using consistent rate curves to the calibration of a Gaussian Heath-Jarrow-Morton model
Year of publication: |
2008-04
|
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Authors: | Falcó, Antonio ; Nave, Juan ; Navarro, Lluís |
Institutions: | Instituto Valenciano de Investigaciones Económicas (IVIE) |
Subject: | HJM models | consistent forward rate curves | multiobjective calibration |
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