An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions (Q5247276): Difference between revisions
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Revision as of 19:27, 5 March 2024
scientific article; zbMATH DE number 6429541
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions |
scientific article; zbMATH DE number 6429541 |
Statements
An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions (English)
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23 April 2015
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interest rate models
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exponential affine bond price
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calibration method
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generating functions
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integral transforms
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