Classes of interest rate models under the HJM framework

DOI10.1023/A:1011468322967MaRDI QIDQ1415420zbMATH OpenFDO

Authors Carl Chiarella, Oh Kang Kwon

Publication date 4 December 2003

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

zbMATH Keywords

interest rate derivativesBlack-KarasinskiCox-Ingersoll-RossHeath-Jarrow-MortonHull-White

Mathematics Subject Classification ID

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