The Market Model of Interest Rate Dynamics (Q4372046)
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scientific article; zbMATH DE number 1106730
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Market Model of Interest Rate Dynamics |
scientific article; zbMATH DE number 1106730 |
Statements
The Market Model of Interest Rate Dynamics (English)
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1997
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term structure models
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HJM framework
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lognormality of rates
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stochastic partial differential equations
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caps
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swaptions
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