Consistent re-calibration of the discrete-time multifactor Vasiček model
Year of publication: |
September 2016
|
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Authors: | Harms, Philipp ; Stefanovits, David ; Teichmann, Josef ; Wüthrich, Mario V. |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 4.2016, 3, p. 1-31
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Subject: | interest rate model | re-calibration | HJM model | Vasiˇcek model | Hull–White extension | CAPM | Theorie | Theory | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks4030018 [DOI] hdl:10419/167895 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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