On the calibration of a Gaussian Heath–Jarrow–Morton model using consistent forward rate curves (Q3005811): Difference between revisions

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-Antonio Falcó
@@ Property / author: Antonio Falcó / rank @@
-Normal rank
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+Antonio Falcó
@@ Property / author: Antonio Falcó / rank @@
+Normal rank
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+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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+https://doi.org/10.1080/14697680903493565
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+W2144419527
@@ Property / OpenAlex ID: W2144419527 / rank @@
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@@ Property / cites work @@
+Arbitrage Theory in Continuous Time
@@ Property / cites work: Arbitrage Theory in Continuous Time / rank @@
+Normal rank
@@ Property / cites work @@
+Interest Rate Dynamics and Consistent Forward Rate Curves
+Normal rank
@@ Property / cites work @@
+On the Existence of Finite‐Dimensional Realizations for Nonlinear Forward Rate Models
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+A Note on the Nelson-Siegel Family
@@ Property / cites work: A Note on the Nelson-Siegel Family / rank @@
+Normal rank
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+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
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+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+An analytically tractable interest rate model with humped volatility
+Normal rank
@@ Property / cites work @@
+Interest rate option pricing with volatility humps
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@@ links / mardi / name / links / mardi / name @@
+Publication:3005811