A class of non-Markovian single factor Heath-Jarrow-Morton term structure models.

被引：0

作者：

Jeffrey, AM ^{[1
]}

机构：

[1] UNIV NEW S WALES,SCH BANKING & FINANCE,SYDNEY,NSW 2052,AUSTRALIA

来源：

JOURNAL OF FINANCE | 1996年 / 51卷 / 03期

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D O I：

暂无

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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页码：1050 / 1051

页数：2

共 20 条

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[8] An Approximate Swaption Formula in Heath-Jarrow-Morton Models
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[9] Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility
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[10] The Term Structure of Interest Rates Under Heath-Jarrow-Morton Models with Fast Mean-Reverting Stochastic Volatility
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