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Implied interest rate skew, term premiums, and the "conundrum"
Durham, J. Benson - In: The journal of fixed income 17 (2007) 4, pp. 88-99
Persistent link: https://www.econbiz.de/10003729823
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Additional analytical approximations of the term structure and distributional assumptions for jump-diffusion processes
Durham, J. Benson - In: The journal of fixed income 15 (2006) 4, pp. 61-73
Persistent link: https://www.econbiz.de/10003339418
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Another view on US treasury term premiums
Durham, J. Benson - In: The journal of fixed income 24 (2015) 4, pp. 5-21
Persistent link: https://www.econbiz.de/10011293468