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

DOI10.1016/J.PHYSA.2017.11.073OpenAlexW2771568818MaRDI QIDQ2148264FDOQ2148264

Erika Gomes-Gonçalves, Henryk Gzyl, Silvia Mayoral

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

Recommendations

• Estimating the Short Rate from the Term Structures in the Vasicek Model
• Short rate as a sum of two CKLS-type processes
• Entropy and information in the interest rate term structure
• Determining the term structure of interest rates
• Estimating the short rate from term structures in the Chan-Karolyi-Longstaff-Sanders model

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)

Cites Work

• Title not available (Why is that?)

This page was built for publication: Calibration of short rate term structure models from bid-ask coupon bond prices

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2148264)