Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068)
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scientific article; zbMATH DE number 6909179
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| English | Long-term yield in an affine HJM framework on \(S_{d}^{+}\) |
scientific article; zbMATH DE number 6909179 |
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Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (English)
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20 July 2018
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HJM
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affine process
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long-term yield
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yield curve
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Wishart process
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0.8204182386398315
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0.8149585127830505
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0.7991873621940613
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0.7698542475700378
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0.7669156789779663
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