http://www.cnr.it/ontology/cnr/individuo/prodotto/ID8112
Heat-Jarrow-Morton interest rate dynamics and approximately consistent forward rate curves (Articolo in rivista)
- Type
- Label
- Heat-Jarrow-Morton interest rate dynamics and approximately consistent forward rate curves (Articolo in rivista) (literal)
- Anno
- 2007-01-01T00:00:00+01:00 (literal)
- Alternative label
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#autori
- La Chioma C., Piccoli B. (literal)
- Pagina inizio
- Pagina fine
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#numeroVolume
- Rivista
- Note
- ISI Web of Science (WOS) (literal)
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#affiliazioni
- La Chioma: Unicredit group (literal)
- Titolo
- Heat-Jarrow-Morton interest rate dynamics and approximately consistent forward rate curves (literal)
- Abstract
- We study a finite{dimensional approach to the Heath Jarrow Morton model
for interest rate and introduce a notion of approximate consistency for a family of functions
in a deterministic and stochastic framework. This amounts to asking the decrease
of the minimum distance in least squares sense. We start from a general linearly parameterized
set of functions and extend the theory to a nonlinear Nelson Siegel family.
Necessary and sufficient condition to have approximately consistency are given as well
as a criterion of stability for the approximation. (literal)
- Prodotto di
- Autore CNR
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- Prodotto
- Autore CNR di
- Http://www.cnr.it/ontology/cnr/pubblicazioni.owl#rivistaDi
