✦ LIBER ✦

Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model

✍ Scribed by Carl Chiarella; Oh Kang Kwon

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Kalman filtering of consistent forward r

✍ Giuliano De Rossi 📂 Article 📅 2004 🏛 Elsevier Science 🌐 English ⚖ 605 KB

A model of the term structure of interes

✍ Isao Shoji 📂 Article 📅 1994 🏛 Springer 🌐 English ⚖ 710 KB

A Simple Multi-Factor, Time-Dependent-Pa

✍ Ren-Raw Chen; T. L. Tyler Yang 📂 Article 📅 2002 🏛 Springer US 🌐 English ⚖ 95 KB

A Markov model for the term structure of

✍ S. V. Malinovskii; L. V. Nazarov 📂 Article 📅 2007 🏛 Springer US 🌐 English ⚖ 164 KB