Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models
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Publication:375376
DOI10.1007/BF01574151zbMath1274.91450MaRDI QIDQ375376
Publication date: 30 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
91G30: Interest rates, asset pricing, etc. (stochastic models)
91G20: Derivative securities (option pricing, hedging, etc.)
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