Lognormality of rates and term structure models (Q4487014)
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scientific article; zbMATH DE number 1462761
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| English | Lognormality of rates and term structure models |
scientific article; zbMATH DE number 1462761 |
Statements
Lognormality of rates and term structure models (English)
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21 June 2001
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erm structure of interest rates
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lognormal volatility structure
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Health-Jackow-motion model
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stochastic PDE
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invariant measure
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0.88734853
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0.88662547
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0.8734478
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