A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics
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Publication:1000328
DOI10.1007/s11537-007-0666-7zbMath1171.35025OpenAlexW2003434757MaRDI QIDQ1000328
Maria Elvira Mancino, Paul Malliavin, Maria Cristina Recchioni
Publication date: 6 February 2009
Published in: Japanese Journal of Mathematics. 3rd Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11537-007-0666-7
Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic models in economics (91B70) Fourier series and coefficients in several variables (42B05) Hypoelliptic equations (35H10)
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