Explosion in the quasi-Gaussian HJM model.

Dan Pirjol Lingjiong Zhu

Published in: Finance Stochastics (2018)

Keyphrases

formal model
probabilistic model
prior knowledge
maximum likelihood
computational model
statistical model
decision making
management system
sensitivity analysis
theoretical framework
theoretical analysis
autoregressive
simulation model
experimental data
process model
real time
objective function
high level
data sets