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On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves


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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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