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Small-noise limit of the quasi-Gaussian log-normal HJM model
Pirjol, Dan; Zhu, Lingjiong - In: Operations research letters 45 (2017) 1, pp. 6-11
Persistent link: https://www.econbiz.de/10011687046
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Explosion in the quasi-Gaussian HJM model
Pirjol, Dan; Zhu, Lingjiong - In: Finance and stochastics 22 (2018) 3, pp. 643-666
Persistent link: https://www.econbiz.de/10011945882