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~subject:"Affine term structure"
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Affine term structure
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interest rate models
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Andersson, Patrik
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Lagerås, Andreas N.
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Insurance / Mathematics & economics
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Insurance: Mathematics and Economics
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Enhancing estimation for interest rate diffusion models with bond prices
Zou, Tao
;
Chen, Song Xi
- In:
Journal of business & economic statistics : JBES ; a …
35
(
2017
)
3
,
pp. 486-498
Persistent link: https://www.econbiz.de/10011705972
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Optimal bond portfolios with fixed time to maturity
Andersson, Patrik
;
Lagerås, Andreas N.
- In:
Insurance / Mathematics & economics
53
(
2013
)
2
,
pp. 429-438
Persistent link: https://www.econbiz.de/10010195912
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3
Optimal bond portfolios with fixed time to maturity
Andersson, Patrik
;
Lagerås, Andreas N.
- In:
Insurance: Mathematics and Economics
53
(
2013
)
2
,
pp. 429-438
We study
interest
rate
models
where the term structure is given by an affine relation and in particular where the …
Persistent link: https://www.econbiz.de/10011046663
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