HJM-based short rate model with stochastic volatilities (Q2951283)
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scientific article; zbMATH DE number 6672356
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| English | HJM-based short rate model with stochastic volatilities |
scientific article; zbMATH DE number 6672356 |
Statements
6 January 2017
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Heath-Jarrow-Morton model
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short rate
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stochastic volatility
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Laplace approximation
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0.778255045413971
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0.7544612884521484
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0.7535138726234436
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0.7502812147140503
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