Small-noise limit of the quasi-Gaussian log-normal HJM model
Year of publication: |
January 2017
|
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Authors: | Pirjol, Dan ; Zhu, Lingjiong |
Published in: |
Operations research letters. - Amsterdam [u.a.] : Elsevier, ISSN 0167-6377, ZDB-ID 720735-9. - Vol. 45.2017, 1, p. 6-11
|
Subject: | HJM model | Explosion | Stochastic modeling | Ordinary differential equations | CAPM | Theorie | Theory | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process |
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