A cyclical square-root model for the term structure of interest rates
Year of publication: |
2015
|
---|---|
Authors: | Moreno, Manuel ; Platania, Federico |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 241.2015, 1 (16.2.), p. 109-121
|
Subject: | Square-root process | Interest rates | Continuous-time model | Harmonic waves | Martingale | Zinsstruktur | Yield curve | Theorie | Theory | Zins | Interest rate | Martingal | Stochastischer Prozess | Stochastic process |
-
Weak time-derivatives and no-arbitrage pricing
Marinacci, Massimo, (2018)
-
A cyclical square-root model for the term structure of interest rates
Moreno, Manuel, (2015)
-
Ahrens, Ralf, (1999)
- More ...
-
A cyclical square-root model for the term structure of interest rates
Moreno, Manuel, (2015)
-
Real Options Valuation Under Uncertainty
Lambert, Marie, (2016)
-
Business Cycle and Interest Rates : Pricing and Risk Management under a New Term Structure Model
Moreno, Manuel, (2011)
- More ...