Hughston, LP and Mina, F (2012) On the Representation of General Interest Rate Models as Square-Integrable Wiener Functionals. In: Takahashi, A and Muromachi, Y and Nakaoka, H, (eds.) Recent Advances in Financial Engineering 2011. (1 - 20). World Scientific Publishing Company
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| Type: | Book chapter |
|---|---|
| Title: | On the Representation of General Interest Rate Models as Square-Integrable Wiener Functionals. |
| ISBN: | 9814407321 |
| ISBN-13: | 9789814407328 |
| Keywords: | interest rate models, term structure dynamics, Heath-Jarrow-Morton framework, pricing kernels, Wiener chaos, Flesaker-Hughston models, potentials |
| UCL classification: | UCL > School of BEAMS > Faculty of Maths and Physical Sciences > Mathematics |
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