On the construction of finite dimensional realizations for nonlinear forward rate models
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More about this item
KeywordsHJM models; factor models; forward rates; state space models; Markovian realizations;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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