On swap rate dynamics: to freeze or not to freeze? (Q3174922): Difference between revisions
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Revision as of 11:02, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On swap rate dynamics: to freeze or not to freeze? |
scientific article |
Statements
On swap rate dynamics: to freeze or not to freeze? (English)
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18 July 2018
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drift freeze
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low variance martingale
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instantaneous forward rate
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yield curve
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Nelson Siegel model
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