Interest Rates Term Structure Models Driven by Hawkes Processes (Q6070672)
From MaRDI portal
scientific article; zbMATH DE number 7770145
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Interest Rates Term Structure Models Driven by Hawkes Processes |
scientific article; zbMATH DE number 7770145 |
Statements
Interest Rates Term Structure Models Driven by Hawkes Processes (English)
0 references
23 November 2023
0 references
Heath-Jarrow-Morton model
0 references
forward rates
0 references
Hawkes processes
0 references
jumps clustering
0 references
swaptions
0 references
caplets
0 references
floorlets
0 references
0 references
