Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "8079"
  #_source: array:26 [
    "id" => "8079"
    "slug" => "infinite-dimensional-hjm-dynamics-for-the-term-structure-of-interest-rates"
    "yearMonth" => "1999-02"
    "year" => "1999"
    "title" => "Infinite Dimensional HJM Dynamics for the Term Structure of Interest Rates"
    "description" => "GUIOTTO, P. et RONCORONI, A. (1999). <i>Infinite Dimensional HJM Dynamics for the Term Structure of Interest Rates</i>. ESSEC Business School."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "RONCORONI Andrea"
        "bid" => "B00006589"
        "slug" => "roncoroni-andrea"
      ]
      1 => array:1 [
        "name" => "GUIOTTO P."
      ]
    ]
    "ouvrage" => ""
    "keywords" => []
    "updatedAt" => "2020-12-17 21:00:33"
    "publicationUrl" => null
    "publicationInfo" => array:3 [
      "pages" => null
      "volume" => null
      "number" => null
    ]
    "type" => array:2 [
      "fr" => "Documents de travail"
      "en" => "Working Papers"
    ]
    "support_type" => array:2 [
      "fr" => "Editeur"
      "en" => "Publisher"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Ce papier traite de l'intégration de la méthode d'estimation de la gamme des taux dans une dynamique aléatoire sans arbitrage. Ce problème est résolu grâce à un modèle infini-dimensionnel qui incorpore et redéfinit les résultats de Heath, Jarrow, Morton et Musiela. Nous proposons une formule analytique d'évaluation d'un caplet, fondée sur la décomposition de la structure par terme. Une procédure de calibrage est aussi décrite."
      "en" => "This paper deals with the integration of the yield curve estimation technology into an arbitrage free stochastic dynamic. This problem is solved by an infinite-dimensional model which incorporates and redefines previous results by Heath, Jarrow, Morton and Musiela. A closed-form caplet formula is provided in terms of the decomposed term structure. A calibration procedure is also described."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-21T16:21:43.000Z"
    "docTitle" => "Infinite Dimensional HJM Dynamics for the Term Structure of Interest Rates"
    "docSurtitle" => "Working Papers"
    "authorNames" => "<a href="/cv/roncoroni-andrea">RONCORONI Andrea</a>, GUIOTTO P."
    "docDescription" => "<span class="document-property-authors">RONCORONI Andrea, GUIOTTO P.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">1999</span>"
    "keywordList" => ""
    "docPreview" => "<b>Infinite Dimensional HJM Dynamics for the Term Structure of Interest Rates</b><br><span>1999-02 | Working Papers </span>"
    "docType" => "research"
    "publicationLink" => "<a href="#" target="_blank">Infinite Dimensional HJM Dynamics for the Term Structure of Interest Rates</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 8.755391
  +"parent": null
}