Explosion in the quasi-Gaussian HJM model
Year of publication: |
July 2018
|
---|---|
Authors: | Pirjol, Dan ; Zhu, Lingjiong |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 3, p. 643-666
|
Subject: | HJM model | Stochastic modeling | Multidimensional diffusions | Explosion | CAPM | Theorie | Theory | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process |
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