Transformation of Heath-Jarrow-Morton Models to Markovian Systems
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- R. Bhar & C. Chiarella, 1997. "Transformation of Heath?Jarrow?Morton models to Markovian systems," The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 1-26.
References listed on IDEAS
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"Transformation of Heath?Jarrow?Morton models to Markovian systems,"
The European Journal of Finance,
Taylor & Francis Journals, pages 1-26.
- Ram Bhar & Carl Chiarella, 1995. "The Estimation of the Heath-Jarrow-Morton Model by Use of Kalman Filtering Techniques," Working Paper Series 54, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
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