An analytically tractable interest rate model with humped volatility (Q1579480)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | An analytically tractable interest rate model with humped volatility |
scientific article |
Statements
An analytically tractable interest rate model with humped volatility (English)
0 references
14 September 2000
0 references
interest rates
0 references
humped volatilities
0 references
normal distribution
0 references
empirical test
0 references
Gaussian errors
0 references
0 references