THE CARMA INTEREST RATE MODEL
Year of publication: |
2014
|
---|---|
Authors: | ANDRESEN, ARNE ; BENTH, FRED ESPEN ; KOEKEBAKKER, STEEN ; ZAKAMULIN, VALERIY |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 17.2014, 02, p. 1450008-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Interest rate model | short rate | forward rate | term structure | CARMA process | bond pricing | bond option pricing | yield curve | volatility curve | calibration |
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