Consistency Problems For Heath Jarrow Morton Interest Rate Models

By C. Freytag. 2016

90 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6cebe3999f05edecf8336398c2b6a3f0719257aa

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1. Mathias Trabs
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Citations in the corpus

• Volatility estimation for stochastic PDEs using high-frequency observations (2017, background): “The key insight in the pioneering work by Hübner et al. (1993) is that for a large class of parabolic differential equations the solution of the SPDE can be written as a Fourier series where each Fourier coefficient follows an ordinary stochastic differential equation of OrnsteinUhlenbeck type. Henc”