Publication

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760)

Damir Filipovic
2001
Book

Abstract

Research monograph providing appropriate consistency conditions for and examples of blended models for the term structure of interest rates within the Health-Jarrow-Morton framework, combining curve-fitting methods and factor models. Softcover.

Official source

https://infoscience.epfl.ch/record/148492?ln=en

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Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760)

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