Essays about: "Brownian signature"
Found 1 essay containing the words Brownian signature.
-
1. Cubature on Wiener Space for the Heath--Jarrow--Morton framework
University essay from Mälardalens högskola/Akademin för utbildning, kultur och kommunikationAbstract : 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. READ MORE
Result pages:
1