Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)
Year of publication: |
2021
|
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Authors: | Realdon, Marco |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 21.2021, 8, p. 1365-1386
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Subject: | Affine autoregressive gamma models | Discrete time affine term structure models | Second-order Esscher transform | Squared Gaussian shocks | Stochastic volatility | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Schock | Shock | Schätztheorie | Estimation theory |
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