Transformation of Heath?Jarrow?Morton models to Markovian systems
Author:
Publisher
Informa UK Limited
Subject
Economics, Econometrics and Finance (miscellaneous)
Link
https://www.tandfonline.com/doi/pdf/10.1080/135184797337516
Reference19 articles.
1. Implied volatility functions in arbitrage-free term structure models
2. Working Paper No. 54;Bhar R.,1995
3. WHEN IS THE SHORT RATE MARKOVIAN?
4. A Theory of the Term Structure of Interest Rates
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