Term structure modeling under volatility uncertainty
Year of publication: |
2021
|
---|---|
Authors: | Hölzermann, Julian |
Published in: |
Mathematics and Financial Economics. - Berlin, Heidelberg : Springer, ISSN 1862-9660. - Vol. 16.2021, 2, p. 317-343
|
Publisher: |
Berlin, Heidelberg : Springer |
Subject: | Term structure of interest rates | No-arbitrage | Ambiguous volatility | Knightian uncertainty | Model uncertainty | Robust finance |
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