Phenomenology of the interest rate curve

DOI10.1080/135048699334546zbMath1009.91036arXivcond-mat/9712164OpenAlexW2145575592MaRDI QIDQ4541578

Jean-Philippe Bouchaud, Nicole El Karoui, Nicolas Sagna, Rama Cont, Marc Potters

Publication date: 4 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9712164

zbMATH Keywords

forward rate curverisk premiumaverage deviation

Mathematics Subject Classification ID

Related Items (14)

A characterization of hedging portfolios for interest rate contingent claims. ⋮ AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE ⋮ Yield Curve Smoothing and Residual Variance of Fixed Income Positions ⋮ Shape factors and cross-sectional risk ⋮ A Quantum Field Theory Term Structure Model Applied to Hedging ⋮ Ab initio yield curve dynamics ⋮ AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL ⋮ HOW DOES THE EURODOLLAR INTEREST RATE BEHAVE? ⋮ MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH ⋮ An introduction to statistical finance ⋮ Phenomenology of the term structure of interest rates with Padé approximants ⋮ A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics ⋮ Volatility estimation for stochastic PDEs using high-frequency observations ⋮ Hedged Monte-Carlo: low variance derivative pricing with objective probabilities

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Unnamed Item

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