A guide on the implementation of the Heath-Jarrow-Morton Two-Factor Gaussian Short Rate Model (HJM-G2++)
- Location
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Deutsche Nationalbibliothek Frankfurt am Main
- Extent
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Online-Ressource
- Language
-
Englisch
- Bibliographic citation
-
Berichte des Fraunhofer-Instituts für Techno- und Wirtschaftsmathematik (ITWM Report) ; 170
- Classification
-
Wirtschaft
- Keyword
-
Hull White model
HJM
G2++ model
- Event
-
Veröffentlichung
- (where)
-
Kaiserslautern
- (who)
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Fraunhofer-Institut für Techno- und Wirtschaftsmathematik, Fraunhofer (ITWM)
- (when)
-
2009
- Creator
-
Acar, S.
Natcheva-Acar, K.
- URN
-
urn:nbn:de:hbz:386-kluedo-16237
- Rights
-
Der Zugriff auf das Objekt ist unbeschränkt möglich.
- Last update
-
25.03.2025, 1:49 PM CET
Data provider
This object is provided by:
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Deutsche Nationalbibliothek. If you have any questions about the object, please contact the data provider.
Associated
- Acar, S.
- Natcheva-Acar, K.
- Fraunhofer-Institut für Techno- und Wirtschaftsmathematik, Fraunhofer (ITWM)
Time of origin
- 2009
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Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates
Parallelisierte Bewertung von Zinsderivaten im Modell von Heath-Jarrow-Morton
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On the structure of Gaussian pricing models and Gaussian Markov functional models
On the structure of Gaussian pricing models and Gaussian Markov functional models
Stability of the Gaussian isoperimetric problem
The stable non-Gaussian asset allocation
The Gaussian conditional independence inference problem
The Old Hall, Heath, Yorkshire
The Heath-Jarrow-Morton approach for modelling stock options
Consistency problems for Heath-Jarrow-Morton interest rate models
Applying Heath-Jarrow-Morton Model to Forecasting the US Treasury Daily Yield Curve Rates
Parallelisierte Bewertung von Zinsderivaten im Modell von Heath-Jarrow-Morton
Morton Rhue, The Wave
Valuation of index-linked cash flows in a Heath-Jarrow-Morton framework
On the structure of Gaussian pricing models and Gaussian Markov functional models
On the structure of Gaussian pricing models and Gaussian Markov functional models
Stability of the Gaussian isoperimetric problem
The stable non-Gaussian asset allocation
The Gaussian conditional independence inference problem