Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models (Q491007)
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scientific article; zbMATH DE number 6474997
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| English | Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models |
scientific article; zbMATH DE number 6474997 |
Statements
Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models (English)
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24 August 2015
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interest rates
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yield curves
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jump-diffusion stochastic processes
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numerical differentiation
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nonparametric estimation
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0.8832460045814514
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0.8771317601203918
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0.8109017014503479
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0.7615981698036194
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0.7575600147247314
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