Browsing FGV EESP - Escola de Economia de São Paulo by Title "Modelo HJM multifatorial com processo de difusão com jumps aplicado ao mercado brasileiro"
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Modelo HJM multifatorial com processo de difusão com jumps aplicado ao mercado brasileiro
2016-08-05This paper proposes an extension of the multifactor Heath, Jarrow and Morton model incorporating a class of jump-diffusion process in an arbitrage-free enviroment, where the jump part follows independent Poisson process. ...
