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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Spelling suggestions: "subject:"bainite dimensional realisation"" "subject:"bainite dimensional realizations""

1

Unifying Gaussian Dynamic Term Structure Models from an HJM Perspective

Li, H., Ye, Xiaoxia, Fu, F. 08 February 2016 (has links)
No / We show that the unified HJM-based approach of constructing Gaussian dynamic term structure models developed by Li, Ye, and Yu (2016) nests most existing GDTSMs as special cases. We also discuss issues of interest rate derivatives pricing under this approach and using integration to construct Markov representations of HJM models.
Gaussian dynamic term structure models
HJM
Finite dimensional realisations
Interest rate derivatives

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