The Q-measure dynamics of forward rates
Year of publication: |
2023
|
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Authors: | Rebonato, Riccardo |
Published in: |
Annual review of financial economics. - Palo Alto, Calif. : Annual Reviews, ISSN 1941-1375, ZDB-ID 2516758-3. - Vol. 15.2023, p. 493-522
|
Subject: | forward rates | volatility | correlation | no-arbitrage | pricing models | Volatilität | Volatility | Zinsstruktur | Yield curve | Währungsderivat | Currency derivative | Derivat | Derivative | Zinsderivat | Interest rate derivative | Wechselkurs | Exchange rate | Korrelation | Correlation | Optionspreistheorie | Option pricing theory |
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