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http://hdl.handle.net/10637/5404On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves
| Title: | On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves |
| Authors : | Falcó Montesinos, Antonio Nave Pineda, Juan Miguel. Navarro, Ll. |
| Keywords: | Tipos de interés - Modelos matemáticos.; Gauss, procesos de.; Ecuaciones diferenciales estocásticas.; Interés - Modelos matemáticos.; Probabilidades. |
| Citation: | Falcó, A., Navarro, Ll. & Nave, J. (2011). "On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves". Quantitative Finance, vol. 11, n. 4, p. 495-504. DOI: https://doi.org/10.1080/14697680903493565. |
| Description: | Este artículo forma parte de un número monográfico titulado "Special Issue on Rates and FX". https://www.tandfonline.com/toc/rquf20/current Este es el pre-print de Falcó, A., Navarro, Ll. & Nave, J. (2011). "On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves". Quantitative Finance, vol. 11, n. 4, p. 495-504, que se ha publicado a texto completo en https://doi.org/10.1080/14697680903493565. |
| URI: | http://hdl.handle.net/10637/5404 |
| Rights : | http://creativecommons.org/licenses/by-nc-nd/4.0/deed.es |
| ISSN: | 1469-7688 |
| Issue Date: | 1-Apr-2011 |
| Center : | Universidad Cardenal Herrera-CEU |
| Appears in Collections: | Dpto. Matemáticas, Física y Ciencias Tecnológicas |
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