Review Paper. Interest–rate term–structure pricing models: a review
From MaRDI portal
Publication:3043458
DOI10.1098/rspa.2003.1255zbMath1073.91040MaRDI QIDQ3043458
Publication date: 6 August 2004
Published in: Proceedings of the Royal Society of London. Series A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1098/rspa.2003.1255
model calibration; interest-rate models; vega hedging; informational efficiency (EMH); term-structure modelling
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
91B24: Microeconomic theory (price theory and economic markets)
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