A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT

DOI10.1142/S021902490300192XMaRDI QIDQ5696851zbMATH OpenFDO

Authors Liliana Forzani, Carlos Tolmasky

Publication date 19 October 2005

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S021902490300192X

zbMATH Keywords

Heath-Jarrow-Mortonprincipal components analysis

Mathematics Subject Classification ID

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• Shape factors and cross-sectional risk
• Term structure of interest rates estimation using rational Chebyshev functions
• Shift, slope and curvature for a class of yields correlation matrices

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