Alternative characterization of volatility of short-term interest rate
Year of publication: |
June 2018
|
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Authors: | Bhar, Ramaprasad ; Lee, Damien |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 5.2018, 2, p. 1-15
|
Subject: | Stochastic volatility | jump component | elasticity of variance | interest rate models | Volatilität | Volatility | Theorie | Theory | Zins | Interest rate | Stochastischer Prozess | Stochastic process | Schätzung | Estimation | Zinsstruktur | Yield curve |
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