ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
Year of publication: |
2006
|
---|---|
Authors: | BJÖRK, TOMAS ; BLIX, MAGNUS ; LANDÉN, CAMILLA |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 09.2006, 03, p. 281-314
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | HJM models | factor models | state space models | Markovian realizations |
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