Spelling suggestions: "subject:"bainite dimensional realisation"" "subject:"bainite dimensional realizations""
1 |
Unifying Gaussian Dynamic Term Structure Models from an HJM PerspectiveLi, 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.
|
Page generated in 0.1566 seconds