2 papers
cs.CE2005
Projecting the Forward Rate Flow onto a Finite Dimensional Manifold
Erhan Bayraktar, Li Chen, H. Vincent Poor
Given a Heath-Jarrow-Morton (HJM) interest rate model and a parametrized family of finite dimensional forward rate curves , this paper provides a techniq…
cs.IT2005
Consistency Problems for Jump-Diffusion Models
Erhan Bayraktar, Li Chen, H. Vincent Poor
In this paper consistency problems for multi-factor jump-diffusion models, where the jump parts follow multivariate point processes are examined. First the gap between jump-diffusi…