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Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas (contributor); Landén, Camilla (contributor);  … - 2002 - [Elektronische Ressource], This version: May 6, 2002
we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …
Persistent link: https://www.econbiz.de/10001664233
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Solution of macromodels with Hansen-Sargent robust policies : summary and some extensions
Giordani, Paolo (contributor); Söderlind, Paul (contributor) - 2002 - [Elektronische Ressource], Rev. May 15, 2003
We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...
Persistent link: https://www.econbiz.de/10001664234
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Accounting development : some perspectives ; a book in honour of Sven-Erik Johansson
Fridman, Bo (ed.); Johansson, Sven-Erik (honouree) - 1989
Persistent link: https://www.econbiz.de/10014271114