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  1. 1. Cubature on Wiener Space for the Heath--Jarrow--Morton framework

    Master-uppsats, Mälardalens högskola/Akademin för utbildning, kultur och kommunikation

    Författare :Lutufyo Mwangota; [2019]
    Nyckelord :Heath–Jarrow–Morton model; stochastic Taylor expansion; Cubature formulae; Brownian signature; forward rate.;

    Sammanfattning : This thesis established the cubature method developed by Gyurkó & Lyons (2010) and Lyons & Victor (2004) for the Heath–Jarrow–Morton (HJM) model. The HJM model was first proposed by Heath, Jarrow, and Morton (1992) to model the evolution of interest rates through the dynamics of the forward rate curve. LÄS MER