Volatility structures of forward rates and the dynamics of the term structure: a multifactor case (Q4254786)
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scientific article; zbMATH DE number 1310944
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| English | Volatility structures of forward rates and the dynamics of the term structure: a multifactor case |
scientific article; zbMATH DE number 1310944 |
Statements
Volatility structures of forward rates and the dynamics of the term structure: a multifactor case (English)
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6 October 1999
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term structure dynamics
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volatility of forward rates
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HJM models
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Markovian models of the term structure
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0.9057948589324952
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0.8122211694717407
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