Interest Rates Term Structure Models Driven by Hawkes Processes (Q6070672)
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scientific article; zbMATH DE number 7770145
Language | Label | Description | Also known as |
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English | Interest Rates Term Structure Models Driven by Hawkes Processes |
scientific article; zbMATH DE number 7770145 |
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Interest Rates Term Structure Models Driven by Hawkes Processes (English)
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23 November 2023
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Heath-Jarrow-Morton model
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forward rates
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Hawkes processes
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jumps clustering
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swaptions
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caplets
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floorlets
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