Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (Q2480221)
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scientific article; zbMATH DE number 5255820
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| English | Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions |
scientific article; zbMATH DE number 5255820 |
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Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (English)
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31 March 2008
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modeling interest rates
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stochastic volatility
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GARCH
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diffusions
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interest rate options
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0.7822962999343872
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0.7819056510925293
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0.7796489596366882
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0.778722882270813
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