Calibration of short rate term structure models from bid-ask coupon bond prices

DOI10.1016/J.PHYSA.2017.11.073MaRDI QIDQ2148264zbMATH OpenOpenAlexFDO

Authors Erika Gomes-Gonçalves, Silvia Mayoral, Henryk Gzyl

Publication date 23 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physa.2017.11.073

zbMATH Keywords

maximum entropy in the meaninterest rate swapsshort rate model calibrationzero coupon bond prices

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

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Cites work

• Interest rate models: an introduction

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