Realizations of interest rate models

J.W. Nieuwenhuis
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J.W. Nieuwenhuis: Groningen University

No 00E62, Research Report from University of Groningen, Research Institute SOM (Systems, Organisations and Management)

Abstract: In this paper we comment on a recent paper by Bj¨ork and Gombani. In contrast to this paper our starting point is not the Musiela equation but the forward rate dynamics. In our approach we do not need to talk about infinitesimal generators.

Date: 2000
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