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Factor Models and the Shape of the Term Structure
Schlögl, Erik; Sommer, Daniel - 1997
The present paper analyses a broad range of one- and multifactor models of the term structure of interest rates. We assess the influence of the number of factors, mean reversion, and the factor probability distributions on the term structure shapes the models generate, and use spread options as...
Persistent link: https://www.econbiz.de/10005841339
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Topics in advanced econometrics
Dhrymes, Phoebus J. - 1994
Persistent link: https://www.econbiz.de/10000885386
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Simulation of truncated gamma distributions
Robert, Christian P.; Mengersen, Kerrie - 1994
Persistent link: https://www.econbiz.de/10000891158
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Die Gültigkeit des zentralen Grenzwerttheorems bei endlichen Stichprobenumfängen oder wie entstehen Faustregeln?
Voß, Werner - 1994
Persistent link: https://www.econbiz.de/10000896127
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Probability and statistics
Basu, Sujit K. (contributor); Sinha, Bimal K. (contributor) - 1993
Persistent link: https://www.econbiz.de/10000896335
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Stochastic programs with simple integer recourse
Louveaux, François - 1991
Persistent link: https://www.econbiz.de/10000829227
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Die Bedeutung von charakteristischen Funktionen in der mathematischen Statistik und deren Anwendungen
Baumeister, Bettina - 1990
Persistent link: https://www.econbiz.de/10000836388
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Mathematics, with applications in management and economics
Bowen, Earl K.; Prichett, Gordon D.; Saber, John C. - 1987 - 6. ed
Persistent link: https://www.econbiz.de/10000739597