A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? (Q3067162): Difference between revisions
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? |
scientific article |
Statements
A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? (English)
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20 January 2011
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interest rate modeling
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Heath-Jarrow-Morton
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Nelson-Siegel
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finite-dimensional representation
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arbitrage
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projection
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