Phenomenology of the interest curve
Year of publication: |
1997-12-30
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Authors: | BOUCHAUD, Jean-Philippe ; CONT, Rama ; KAROUI, Nicole EL ; POTTERS, Marc ; SAGNA, Nicolas |
Institutions: | EconWPA |
Subject: | Yield curve | arbitrage | forward rate | risk premium | interest rate | volatility |
Extent: | application/pdf application/postscript |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - Tex; prepared on UNIX Sparc TeX; to print on PostScript; pages: 34 ; figures: included 34 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; C51 - Model Construction and Estimation |
Source: |
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