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~person:"Elhouar, Mikael"
~subject:"stochastic volatility"
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stochastic volatility
HJM models
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Markov chains in continuous time
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forward rates
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Elhouar, Mikael
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Finite-dimensional Realizations of Regime-switching HJM Models
Elhouar, Mikael
- In:
Applied Mathematical Finance
15
(
2008
)
4
,
pp. 331-354
forward rate volatility is allowed to depend on the current forward rate curve as well as on a
continuous
time
Markov chain y …
Persistent link: https://www.econbiz.de/10005462502
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