A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? (Q3067162): Difference between revisions
From MaRDI portal
Changed an Item |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 10:32, 5 March 2024
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)
0 references
20 January 2011
0 references
interest rate modeling
0 references
Heath-Jarrow-Morton
0 references
Nelson-Siegel
0 references
finite-dimensional representation
0 references
arbitrage
0 references
projection
0 references
