Coupon Bond Valuation with a Non-Affine Discount Yield Model
Authors: | Spencer, Peter D |
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Institutions: | Department of Economics and Related Studies, University of York |
Subject: | Non-affine yield curve | Bond valuation | Laplace transform |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Classification: | C6 - Mathematical Methods and Programming ; E21 - Consumption; Saving ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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