Numerical study on a type I error of a random walk hypothesis on interest rates

MaRDI QIDQ2888705zbMATH OpenFDO

Authors Nien-Lin Liu

Publication date 4 June 2012

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Credit risk (91G40)

Cited in

(1)

• Approximation of eigenvalues of spot cross volatility matrix with a view toward principal component analysis

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