Modifying Gaussian term structure models when interest rates are near the zero lower bound
Year of publication: |
2011-10
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Authors: | Krippner, Leo |
Institutions: | College of Business and Economics, Australian National University |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 46 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing |
Source: |
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