Browsing 01 Mathematical Sciences by Author "Pasquali, Sara"

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Browsing 01 Mathematical Sciences by Author "Pasquali, Sara"

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  • Chiarella, Carl; Pasquali, Sara; Runggaldier, Wolfgang (Applied Probability Trust, 2001)
    We consider a parametrization of the Heath-Jarrow-Morton (HJM) family of term structure of interest rate models that allows a finite-dimensional Markovian representation of the stochastic dynamics. This parametrization ...