Finite-dimensional Realizations of Regime-switching HJM Models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5.
More about this item
KeywordsHJM models; forward rates; stochastic volatility; state space models; Markov chains in continuous time;
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