Consistency problems for Heath-Jarrow-Morton interest rate models
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Publication:5931585
DOI10.1007/b76888zbMath1008.91038MaRDI QIDQ5931585
Publication date: 25 April 2001
Published in: Lecture Notes in Mathematics (Search for Journal in Brave)
Full work available at URL: http://link.springer.de/link/service/series/0304/tocs/t1760.htm
invariant manifolds; curve-fitting methods; Heath-Jarrow-Morton interest rate model; infinite dimensional Brownian motion
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91G30: Interest rates, asset pricing, etc. (stochastic models)
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