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

J Nave, Ll Navarro + Show 1 more

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https://doi.org/10.1080/14697680903493565

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Journal: Quantitative Finance	Publication Date: Apr 1, 2011
Citations: 16	License type: cc-by-nc-nd

Abstract

Este articulo forma parte de un numero monografico titulado Special Issue on Rates and FX.

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