Estimating affine multifactor term structure models using closed-form likelihood expansions
Yacine Ai͏̈t-Sahalia; Robert L. Kimmel
| Year of publication: |
2008
|
|---|---|
| Other Persons: | Aït-Sahalia, Yacine (contributor) ; Kimmel, Robert (contributor) |
| Publisher: |
Columbus, Ohio : Charles A. Dice Center for Research in Financial Economics |
| Subject: | Derivat | Derivative | Marktrisiko | Market risk | Revenue-Management | Revenue management | Zinsstruktur | Yield curve | Maximum-Likelihood-Schätzung | Maximum likelihood estimation | Monte-Carlo-Simulation | Monte Carlo simulation |
| Extent: | Online-Ressource (PDF-Datei: 53 S., 452,27 KB) graph. Darst. |
|---|---|
| Series: | Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2189279-9. - Vol. 2008,19 Fisher College of Business working paper series. - Columbus, Ohio : [Verlag nicht ermittelbar], ZDB-ID 2412551-9. - Vol. 2008-03-018 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature |
| Language: | English |
| Notes: | Literaturverz. S. 25 - 27 Systemvoraussetzungen: Acrobat reader |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003783429