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"Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton ..."

Haitao Li, Xiaoxia Ye, Fan Yu (2020)

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DOI: 10.1016/J.EJOR.2020.04.015

access: closed

type: Journal Article

metadata version: 2023-03-21

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Haitao Li, Xiaoxia Ye, Fan Yu:
Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective. Eur. J. Oper. Res. 286(3): 1153-1167 (2020)

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