An analytically tractable interest rate model with humped volatility (Q1579480)

From MaRDI portal
Revision as of 11:59, 30 July 2024 by Openalex240730090724 (talk | contribs) (Set OpenAlex properties.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
An analytically tractable interest rate model with humped volatility
scientific article

    Statements

    title
    An analytically tractable interest rate model with humped volatility (English)
    0 references
    author
    J. M. Moraleda
    0 references
    Fabio Mercurio
    0 references
    publication date
    14 September 2000
    0 references
    zbMATH DE Number
    1506712
    0 references
    zbMATH Keywords
    interest rates
    0 references
    humped volatilities
    0 references
    normal distribution
    0 references
    empirical test
    0 references
    Gaussian errors
    0 references
    OpenAlex ID
    W1969282418
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1579480&oldid=37380981"
    Powered by MediaWiki