On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves

被引：1

作者：

Falco, A. ^{[1
]}

Navarro, L. L. ^{[1
]}

Nave, J. ^{[2
]}

机构：

[1] Univ CEU Cardenal Herrera, Dept Ciencias Fis Matemat & Computac, Alfara Del Patriarca 46115, Valencia, Spain

[2] Univ CEU Cardenal Herrera, Dept Econ & Empresa, Alfara Del Patriarca 46115, Valencia, Spain

来源：

QUANTITATIVE FINANCE | 2011年 / 11卷 / 04期

关键词：

CONTINGENT CLAIMS; TERM STRUCTURE;

D O I：

10.1080/14697680903493565

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

[No abstract available]

引用

页码：495 / 504

页数：10

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