A fractal version of the Hull–White interest rate model
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Hainaut, Donatien, 2016. "A bivariate Hawkes process for interest rate modeling," Economic Modelling, Elsevier, vol. 57(C), pages 180-196.
More about this item
KeywordsHidden Markov process; Switching Brownian motion; Interest rates; Hull–White model; Switching volatility; Markov modulated volatility;
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