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

@@ 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
+Normal rank
@@ Property / cites work @@
+A Note on the Nelson-Siegel Family
@@ Property / cites work: A Note on the Nelson-Siegel Family / rank @@
+Normal rank
@@ Property / cites work @@
+Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
+Normal rank
@@ Property / cites work @@
+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
+Normal rank