On the construction of finite dimensional realizations for nonlinear forward rate models
Year of publication: |
2000
|
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Authors: | Björk, Tomas ; Landén, Camilla |
Publisher: |
Stockholm : Stockholm School of Economics, The Economic Research Institute (EFI) |
Subject: | forward rate | HJM models | term structure | factor models | state space models | Markovian realizations |
Series: | |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 687675499 [GVK] hdl:10419/56307 [Handle] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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On the construction of finite dimensional realizations for nonlinear forward rate models
Björk, Tomas, (2000)
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Finite dimensional Markovian realizations for stochastic volatility forward rate models
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