Arbitrage-free Nelson–Siegel model for multiple yield curves

Interest rates term structure models driven by Hawkes processes

G Bernis, M Garcin, S Scotti, C Sgarra - SIAM Journal on Financial …, 2023 - SIAM
This paper includes a marked Hawkes process in the original Heath–Jarrow–Morton (HJM)
setup and investigates the impact of this assumption on the pricing of the popular vanilla …
被引用次数：3 相关文章 所有 4 个版本