A term structure model of interest rates with quadratic volatility
Hideyuki Takamizawa
| Year of publication: |
July 2018
|
|---|---|
| Authors: | Takamizawa, Hideyuki |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 7, p. 1173-1198
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| Subject: | Term structure | Interest rate | Volatility | Affine model | Prediction | Zinsstruktur | Yield curve | Volatilität | Optionspreistheorie | Option pricing theory | Prognoseverfahren | Forecasting model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1417623 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011911531