Fixed-Income Pricing in a Non-Linear Interest-Rate Model.
Year of publication: |
2014
|
---|---|
Authors: | Renne, J-P. |
Institutions: | Banque de France |
Subject: | yield curve | option pricing | regime switching | market expectations |
Extent: | application/pdf |
---|---|
Series: | |
Type of publication: | Book / Working Paper |
Notes: | 44 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; E47 - Forecasting and Simulation ; G12 - Asset Pricing ; C53 - Forecasting and Other Model Applications |
Source: |
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