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Quantitative Finance Letters Volume 3, 2015 - Issue 1

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Interest-rate simulation under the real-world measure within a Gaussian HJM framework

Takashi YasuokaGraduate School of Engineering Management, Shibaura Institute of Technology, 3-9-14 Shibaura, Minato-ku, Tokyo108-0023, JapanCorrespondence[email protected]
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Pages 10-16 | Received 28 Jun 2013, Accepted 14 Nov 2014, Published online: 12 Jan 2015

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https://doi.org/10.1080/21649502.2014.995213
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