A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (Q4372038): Difference between revisions
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| Property / full work available at URL: https://doi.org/10.1111/j.1467-9965.1994.tb00095.x / rank | |||
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| Property / cites work: Term structure of interest rates: The martingale approach / rank | |||
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Latest revision as of 10:16, 28 May 2024
scientific article; zbMATH DE number 1106721
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON |
scientific article; zbMATH DE number 1106721 |
Statements
A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (English)
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21 January 1998
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term structure of interest rates
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stochastic equations in infinite dimension
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cusps
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swaptions
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martingale measures
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