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On the Representation of General Interest Rate Models as Square-Integrable Wiener Functionals.

Hughston, LP; 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
URI: http://discovery.ucl.ac.uk/id/eprint/1364121
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