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Mean reversion for HJMM forward rate models - MaRDI portal

Mean reversion for HJMM forward rate models (Q3578036)

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Mean reversion for HJMM forward rate models
scientific article

    Statements

    title
    Mean reversion for HJMM forward rate models (English)
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    author
    Anna Rusinek
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    publication date
    13 July 2010
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    zbMATH Keywords
    term structure of interest rates
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    stationary distribution
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    infinite-dimensional model
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60G51
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    60H15
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    zbMATH DE Number
    5735962
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    OpenAlex ID
    W2053040227
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