sparse
发表于 2025-4-1 03:00:31
Shishir Nagarajahite, the Cheyette and the Libor Market model. For all the models we consider the extensions bya stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models conside
仔细阅读
发表于 2025-4-1 08:32:28
Shishir Nagarajahite, the Cheyette and the Libor Market model. For all the models we consider the extensions bya stochastic basis and stochastic volatility component. Finally, we round up the exposition by giving an overview of the numerical methods that are relevant for successfully implementing the models conside
外形
发表于 2025-4-1 12:16:54
Michael Roe along tbe lines of Ho and Lee. They eliminate some of the problems of Ho and Lee (1986) but create a new one: for a certain specification of the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuou
诗集
发表于 2025-4-1 16:04:35
Alf Zugenmaier,Julien Laganier,Anand Prasad,Kristian Slavov
拾落穗
发表于 2025-4-1 19:09:23
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conspicuous
发表于 2025-4-1 23:50:49
Tuomas Aura,Moritz Becker,Michael Roe,Piotr Zielińskif the volatility function, the short rate can be mean-fteeting rather than mean-reverting. Heath, Jarrow and Morton (1992) (HJM) construct a family of continuou978-3-540-60814-1978-3-642-46825-4Series ISSN 0075-8442 Series E-ISSN 2196-9957