Market models of interest rate dynamics with a joint short rate/HJM approach

• Author / Creator

  Mamon, Rogemar S

• Subjects / Keywords

  • Interest rates. Econometric models.
  • Interest rate futures. Mathematical models.

• Graduation date

  2000

• Type of Item

  Thesis

• Degree

  Doctor of Philosophy in Mathematical Finance

• DOI

  https://doi.org/10.7939/r3-9bks-g147

• License

  This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for the purpose of private, scholarly or scientific research. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.