WHEN IS THE SHORT RATE MARKOVIAN? (Q4372040)
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scientific article; zbMATH DE number 1106723
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| default for all languages | No label defined |
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| English | WHEN IS THE SHORT RATE MARKOVIAN? |
scientific article; zbMATH DE number 1106723 |
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WHEN IS THE SHORT RATE MARKOVIAN? (English)
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21 January 1998
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term structure of interest rates
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short rate
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Heath model
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Jarrow model
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Morton model
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0.8481723666191101
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0.8296741247177124
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0.8245946764945984
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