Analysis of the Heath, Jarrow and Morton models (HJM)

MaRDI QIDQ6571922zbMATH OpenFDO

Authors Dmitriĭ Aleksandrovich Pavliv

Publication date 12 July 2024

Published in Izvestiya Gomel'skogo Gosudarstvennogo Universiteta Im. F. Skoriny (Search for Journal in Brave)

zbMATH Keywords

forward curveHo-Lee modelterm structure of interest rate yieldsVasicek modelvolatility

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX) Biology and other natural sciences (92-XX)

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