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Fractional Brownian Motion을 이용한 이자율 모형
이준희
Article
Issue Date
2008
Citation
재무관리연구, v.25, no.1, pp.85 - 108
Publisher
한국재무관리학회
한국 금리기간구조의 장기 기억성에 대한 연구
이준희
; 이명호
Article
Issue Date
2009
Citation
金融工學硏究, v.8, no.3, pp.25 - 46
Publisher
한국금융공학회
1
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Fractional Brownian Motion
2
Affine and Quadratic Model
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Affine Model
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HJM
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Kalman Filtering
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Quadratic 모형
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Term Structure of Interest Rate
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金融工學硏究
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