A complete Markovian stochastic volatility model in the HJM framework

DOI10.1023/A:1010017213565zbMath1153.91474OpenAlexW142259032MaRDI QIDQ1000522

Oh Kang Kwon, Carl Chiarella

Publication date: 6 February 2009

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1010017213565

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

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