Abstract
The Heath, Jarrow and Morton approach to term structure modelling is based on an exogenous specification of the dynamics of instantaneous, continuously compounded forward rates f(t, T).
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© 1997 Springer-Verlag Berlin Heidelberg
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Musiela, M., Rutkowski, M. (1997). Models of Instantaneous Forward Rates. In: Martingale Methods in Financial Modelling. Applications of Mathematics, vol 36. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-662-22132-7_13
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DOI: https://doi.org/10.1007/978-3-662-22132-7_13
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-662-22134-1
Online ISBN: 978-3-662-22132-7
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