Long-term factorization in Heath-Jarrow-Morton models
type: Item
instance of: scholarly article
title: Long-term factorization in Heath-Jarrow-Morton models
zbMATH Open document ID: 1414.91388
author: Likuan Qin
author: Vadim Linetsky
published in: Finance and Stochastics
publication date: 2018-07-16T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 60H15
zbMATH DE Number: 6903852
zbMATH Keywords: stochastic discount factor
zbMATH Keywords: long-term factorization
zbMATH Keywords: long bond
zbMATH Keywords: long forward measure
zbMATH Keywords: HJM models
MaRDI profile type: Publication
full work available at URL: s00780-018-0365-7
OpenAlex ID: W2803443879
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DOI: 10.1007/S00780-018-0365-7
description: scientific article; zbMATH DE number 6903852