Mean reversion for HJMM forward rate models

Advances in Applied Probability

Volumn 42, Issue 2, 2010, Pages 371-391

  Rusinek, Anna ^a  

^a INSTITUTE OF MATHEMATICS   (Poland)

Author keywords

Infinite dimensional model; Stationary distribution; Term structure of interest rates

Indexed keywords

DIMENSIONAL MODEL; FORWARD RATE; LONG TIME BEHAVIOR; MEAN REVERSION; STATE SPACE; STATIONARY DISTRIBUTION; TERM STRUCTURE OF INTEREST RATES;

EID: 78650927464     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1239/aap/1275055234     Document Type: Article

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