Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models (Q5459527)
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scientific article; zbMATH DE number 5269303
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| English | Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models |
scientific article; zbMATH DE number 5269303 |
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Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models (English)
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29 April 2008
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affine term structure model
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mean reversion model
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initial forward rate curve
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time-inhomogeneous extension
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0.8834347
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0.8756648
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0.86771226
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0.85847807
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0.8574833
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0.85488683
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0.8503588
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0.8498117
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