Affiliation:
1. Faculty of Economics and Business; University of Amsterdam; Amsterdam The Netherlands
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Reference19 articles.
1. Long-term behavior of stochastic interest rate models with jumps and memory;Bao;Insurance: Mathematics and Economics,2013
2. Biagini , F. Gnoatto , A. Härtel , M. 2013 Affine HJM framework on S d + and long-term yield http://arxiv.org/abs/1311.0688
3. Behavior of long-term yields in a Lévy term structure;Biagini;International Journal of Theoretical and Applied Finance,2014
4. On the existence of finite-dimensional realizations for nonlinear forward rate models;Björk;Mathematical Finance,2001