Long-term factorization in Heath-Jarrow-Morton models
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Publication:1650942
DOI10.1007/s00780-018-0365-7zbMath1414.91388OpenAlexW2803443879MaRDI QIDQ1650942
Publication date: 16 July 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-018-0365-7
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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