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