"The volatility structure of the fixed income market under the HJM ..."

Carl Chiarella, Hing Hung, Thuy-Duong Tô (2009)

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DOI: 10.1016/J.CSDA.2008.07.036

access: closed

type: Journal Article

metadata version: 2020-02-18

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Carl Chiarella, Hing Hung, Thuy-Duong Tô:
The volatility structure of the fixed income market under the HJM framework: A nonlinear filtering approach. Comput. Stat. Data Anal. 53(6): 2075-2088 (2009)

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