A finite-dimensional HJM model: How important is arbitrage-free evolution? (Q3067162)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 5839572
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A finite-dimensional HJM model: How important is arbitrage-free evolution? |
scientific article; zbMATH DE number 5839572 |
Statements
A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? (English)
0 references
20 January 2011
0 references
interest rate modeling
0 references
Heath-Jarrow-Morton
0 references
Nelson-Siegel
0 references
finite-dimensional representation
0 references
arbitrage
0 references
projection
0 references
0 references
0 references
0.773847758769989
0 references
0.7703114748001099
0 references
0.7695930004119873
0 references
0.764833927154541
0 references
0.7616633176803589
0 references
