An alternative approach on the existence of affine realizations for HJM term structure models
- Journal Article
Journal / seriesProceedings of the Royal Society. Series A, Mathematical, physical and engineering sciences
Pages / Article No.
PublisherThe Royal Society
SubjectGeometry of interest rate models; invariant foliations; affine realizations; Riccati equations
Organisational unit03845 - Teichmann, Josef
NotesReceived 22 September 2009, Accepted 23 March 2010, Published online before print 23 April 2010.
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