Discrete Time Term Structure Theory and Consistent Recalibration Models (Q4607042)

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scientific article; zbMATH DE number 6849030
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Discrete Time Term Structure Theory and Consistent Recalibration Models
scientific article; zbMATH DE number 6849030

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    Discrete Time Term Structure Theory and Consistent Recalibration Models (English)
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    12 March 2018
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    forward characteristic process
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    volatility surface
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    calibration
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    finite dimensional realization
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    affine process
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