Stochastic volatility Gaussian Heath-Jarrow-Morton models (Q4672758): Difference between revisions

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Property / full work available at URL: https://doi.org/10.1080/1350486042000231902 / rank
 
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Latest revision as of 10:46, 10 June 2024

scientific article; zbMATH DE number 2164111
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English
Stochastic volatility Gaussian Heath-Jarrow-Morton models
scientific article; zbMATH DE number 2164111

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    Stochastic volatility Gaussian Heath-Jarrow-Morton models (English)
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    3 May 2005
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    term structure of interest rates
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    stochastic volatility
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    continuous time Markov chains
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    piecewise-deterministic Markov processes
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