A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (Q4372038)
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scientific article; zbMATH DE number 1106721
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON |
scientific article; zbMATH DE number 1106721 |
Statements
A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (English)
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21 January 1998
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term structure of interest rates
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stochastic equations in infinite dimension
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cusps
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swaptions
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martingale measures
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