On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals
Tools
Tools
Hughston, L P and Mina, F. 2012. On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals. In: A Takahashi; Y Muromachi and H Nakaoka, eds. Recent Advances in Financial Engineering 2011. Singapore: World Scientific Publishing Company, pp. 1-20. ISBN 9789814407328 [Book Section]
No full text available|
Item Type: |
Book Section |
||||
| Keywords: |
interest rate models, term structure dynamics, Heath-JarrowMorton framework, pricing kernels, Wiener chaos, Flesaker-Hughston models, potentials |
||||
| Departments, Centres and Research Units: |
|||||
| Dates: |
|
||||
| Item ID: |
31516 |
||||
| Date Deposited: |
23 Feb 2022 10:24 |
||||
| Last Modified: |
23 Feb 2022 10:24 |
||||
|
URI: |
 |
Edit Record (login required) |