Small-noise limit of the quasi-Gaussian log-normal HJM model-Reference-Cited by-同舟云学术

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Small-noise limit of the quasi-Gaussian log-normal HJM model

Published:2017-01 Issue:1 Volume:45 Page:6-11
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Pirjol Dan,Zhu Lingjiong

Funder

NSF

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference15 articles.

1. Interest Rate Modeling;Andersen,2010

2. Markovian Term Structure Models;Andreasen,2010

3. Generalized Vasicek models of the term structure;Babbs;Appl. Stochastic Models Data Anal.,1993

4. Pricing Eurodollar futures options with the Heath–Jarrow–Morton model;Cakici;J. Futures Mark.,2001

5. Markov representation of the Heath–Jarrow–Morton model. Technical Report;Cheyette,1992

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. The Q-Measure Dynamics of Forward Rates;Annual Review of Financial Economics;2023-11-01

2. Explosion in the quasi-Gaussian HJM model;Finance and Stochastics;2018-06-04

3. Small-noise limit of the quasi-Gaussian log-normal HJM model;Operations Research Letters;2017-01

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