An alternative approach on the existence of affine realizations for HJM term structure models. (Q2997301)
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scientific article; zbMATH DE number 5885560
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| English | An alternative approach on the existence of affine realizations for HJM term structure models. |
scientific article; zbMATH DE number 5885560 |
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An alternative approach on the existence of affine realizations for HJM term structure models (English)
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6 May 2011
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geometry of interest rate models
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invariant foliations
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affine realizations
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Riccati equations
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0.8408786058425903
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0.8138677477836609
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0.8106229901313782
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0.8017372488975525
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0.7942583560943604
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