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Author
Rusinek Anna (Functional Finances, Degstgeest, Netherland)
Title
Modele terminowych stóp procentowych w przestrzeniach funkcji całkowalnych w kwadracie
Forward Rates Models on the Space of Square Integrable Functions
Source
Rocznik Naukowy Wydziału Zarządzania w Ciechanowie, 2016, t. 10, nr 1-4, s. 135-144, bibliogr. 14 poz.
Research Yearbook Faculty of Management in Ciechanów
Keyword
Struktura terminowa stóp procentowych, Modele stochastyczne, Rachunek różniczkowy i całkowy
Term structure of interest rates, Stochastic models, Calculus
Note
streszcz., summ.
Abstract
W pracy są omawiane modele terminowych stóp procentowych Heatha-Jarrowa-Mortona-Musieli w przestrzeni funkcji całkowalnych z kwadratem i podany jest dowód, że struktura Heatha-Jarrowa-Mortona-Musieli może być rozważana jako rozwiązania równania stochastycznego Musieli. (abstrakt oryginalny)

We discuss the Heath-Jarrow-Morton-Musiela forward rates models on the space of square integrable functions and we prove that forward rates in the Heath-Jarrow-Morton-Musiela framework can be regarded as solutions to the stochastic Musiela equation. (original abstract)
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Bibliography
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ISSN
1897-4716
Language
eng
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