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A guide on the implementation of the Heath-Jarrow-Morton Two-Factor Gaussian Short Rate Model (HJM-G2++)
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2009
Report
Title
A guide on the implementation of the Heath-Jarrow-Morton Two-Factor Gaussian Short Rate Model (HJM-G2++)
Author(s)
Acar, S.
Natcheva-Acar, K.
Publisher
Fraunhofer ITWM
Publishing Place
Kaiserslautern
DOI
10.24406/publica-fhg-294560
File(s)
170.pdf (406.1 KB)
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Rights
Under Copyright
Language
English
Fraunhofer-Institut für Techno- und Wirtschaftsmathematik ITWM