Finite dimensional affine realisations of HJM models in terms of forward rates and yields

Review of Derivatives Research

Volumn 6, Issue 2, 2003, Pages 129-155

  Chiarella, Carl ^a   Kwon, Oh Kang ^a  

^a UNIVERSITY OF TECHNOLOGY SYDNEY   (Australia)

Author keywords

Forward rates; Heath Jarrow Morton; Interest rate models; Markovian models; Yields

Indexed keywords

EID: 3943049989     PISSN: 13806645     EISSN: None     Source Type: Journal    
DOI: 10.1023/A:1027325227773     Document Type: Article

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