scientific article
From MaRDI portal
Publication:2756617
zbMath1019.91024MaRDI QIDQ2756617
Publication date: 18 November 2001
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
finite difference methodsplineinterest ratesmethod of momentsprincipal components analysisfinancial marketmaximum likelihood techniqueaffine modelrandom field modelcomplete-market arbitrageprice kernelyield curve model
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (11)
A cyclical square-root model for the term structure of interest rates ⋮ Exact Smooth Term-Structure Estimation ⋮ Pricing credit derivatives under fractional stochastic interest rate models with jumps ⋮ Deriving implied risk-free interest rates from bond and CDS quotes: a model-independent approach ⋮ A defaultable bond model with cyclical fluctuations in the spread process ⋮ Convexity theory for the term structure equation ⋮ Modelling of stochastic fat-tailed auto-correlated processes: an application to short-term rates* ⋮ Two-factor term structure model with uncertain volatility risk ⋮ Analytic bond pricing for short rate dynamics evolving on matrix Lie groups ⋮ A two-factor model for low interest rate regimes ⋮ A note on Gaussian estimation of the CKLS and CIR models with feedback effects for Japan
This page was built for publication: