Unifying Gaussian dynamic term structure models from a Heath–Jarrow–Morton perspective
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DOI: 10.1016/j.ejor.2020.04.015
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- Donatien Hainaut, 2021. "Lévy Interest Rate Models with a Long Memory," Risks, MDPI, vol. 10(1), pages 1-28, December.
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Keywords
Finance; Gaussian dynamic term structure Models; HJM; Finite dimensional realizations; Interest rate derivatives;All these keywords.
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