The investor problem based on the HJM model
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Publication:5028970
DOI10.4064/ap210429-12-11zbMath1492.91337arXiv2010.13915OpenAlexW4205346446MaRDI QIDQ5028970
Dariusz Zawisza, Szymon Peszat
Publication date: 11 February 2022
Published in: Annales Polonici Mathematici (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2010.13915
Optimal stochastic control (93E20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10)
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