ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES (Q5483440)
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scientific article; zbMATH DE number 5045371
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| English | ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES |
scientific article; zbMATH DE number 5045371 |
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ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES (English)
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14 August 2006
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HJM models
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factor models
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state space models
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Markovian realizations
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0.93767405
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0.9036107
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0.8950365
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0.8930336
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0.8845119
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0.88450813
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