Finite‐dimensional Realizations of Regime‐switching HJM Models (Q3523659)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Finite‐dimensional Realizations of Regime‐switching HJM Models |
scientific article |
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Finite‐dimensional Realizations of Regime‐switching HJM Models (English)
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5 September 2008
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HJM models
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forward rates
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stochastic volatility
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state space models
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Markov chains in continuous time
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