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

Hughston, L P; and Mina, F. 2012. On the Representation of General Interest Rate Models as Square- Integrable Wiener Functionals. In: A Takahashi; Y Muromachi and H Nakaoka, eds. Recent Advances in Financial Engineering 2011. Singapore: World Scientific Publishing Company, pp. 1-20. ISBN 9789814407328 [Book Section]
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Item Type Book Section
Keywords interest rate models, term structure dynamics, Heath-JarrowMorton framework, pricing kernels, Wiener chaos, Flesaker-Hughston models, potentials
Departments, Centres and Research Units Computing
Date Deposited 23 Feb 2022 10:24
Last Modified 23 Feb 2022 10:24

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