Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (Q2480221): Difference between revisions
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Revision as of 07:17, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions |
scientific article |
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Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (English)
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31 March 2008
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modeling interest rates
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stochastic volatility
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GARCH
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diffusions
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interest rate options
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