Interest rate term structure modelling

DOI10.1016/j.ejor.2011.01.033zbMath1218.91161MaRDI QIDQ2275618

Wolfgang M. Schmidt

Publication date: 9 August 2011

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2011.01.033

zbMATH Keywords

interest rate; finance; term structure; arbitrage pricing theory

Mathematics Subject Classification ID

91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance

91G30: Interest rates, asset pricing, etc. (stochastic models)

Related Items

Pricing and risk management of interest rate swaps, A cyclical square-root model for the term structure of interest rates, A noisy principal component analysis for forward rate curves, A tractable interest rate model with explicit monetary policy rates, Kriging of financial term-structures, Stochastic string models with continuous semimartingales, Affine model of inflation-indexed derivatives and inflation risk premium

Cites Work

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