Sabr Type Stochastic Volatility Operator In Hilbert Space
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- Raphaël Douady & Zeyu Cao, 2020. "Sabr Type Stochastic Volatility Operator In Hilbert Space," Working Papers hal-03018478, HAL.
References listed on IDEAS
- Raphaël Douady, 2013.
"Yield Curve Smoothing and Residual Variance of Fixed Income Positions,"
Post-Print
hal-00666751, HAL.
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- Raphaël Douady, 2014. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Post-Print hal-01151276, HAL.
- Raphaël Douady, 2014. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Documents de travail du Centre d'Economie de la Sorbonne 14091, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Raphaël Douady, 2013. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666751, HAL.
- D. P. Kennedy, 1994. "The Term Structure Of Interest Rates As A Gaussian Random Field," Mathematical Finance, Wiley Blackwell, vol. 4(3), pages 247-258, July.
- Rama Cont, 2005. "Modeling Term Structure Dynamics: An Infinite Dimensional Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(03), pages 357-380.
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Keywords
Interest Rate Modeling; Stochastic Volatility Operator; Hilbert Space;All these keywords.
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