Calibration of Gaussian Heath, Jarrow and Morton and random field interest rate term structure models

DOI10.1007/BF01574151zbMath1274.91450MaRDI QIDQ375376

Kin Pang

Publication date: 30 October 2013

Published in: Review of Derivatives Research (Search for Journal in Brave)

zbMATH Keywords

calibrationGaussian HJM modelsinterest rate term structure models

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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