On swap rate dynamics: to freeze or not to freeze?

DOI10.1080/00207160.2016.1247441zbMath1403.91357OpenAlexW3122525924MaRDI QIDQ3174922

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Publication date: 18 July 2018

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160.2016.1247441

zbMATH Keywords

yield curvedrift freezeinstantaneous forward ratelow variance martingaleNelson Siegel model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Martingales with continuous parameter (60G44) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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Cites Work

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