Showing 1 - 4 of 4
Two of the authors (DE and PW) recently introduced a non-probabilistic spot interest rate model. The key concepts in this model are the non-diffusive nature of the spot rate process and the uncertainty in the parameters. The model assumes the worst possible outcome for the spot rate path when...
Persistent link: https://www.econbiz.de/10005212098
Persistent link: https://www.econbiz.de/10001500035
Persistent link: https://www.econbiz.de/10009582828
Persistent link: https://www.econbiz.de/10005958403