Affine models with stochastic market price of risk
Year of publication: |
June 2017
|
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Authors: | Rebonato, Riccardo |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 20.2017, 4, p. 1-38
|
Subject: | Affine modelling | market price of risk | predictions of interest rates | Theorie | Theory | Zinsstruktur | Yield curve | Risikoprämie | Risk premium | Risiko | Risk | CAPM | Prognoseverfahren | Forecasting model |
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