A tractable interest rate model with explicit monetary policy rates
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Publication:322788
DOI10.1016/j.ejor.2015.12.014zbMath1346.91245OpenAlexW2192113494MaRDI QIDQ322788
Publication date: 7 October 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2015.12.014
Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (4)
Valuation of caps and swaptions under a stochastic string model ⋮ Kriging of financial term-structures ⋮ A model of the euro-area yield curve with discrete policy rates ⋮ Macroeconomic environment, money demand and portfolio choice
Cites Work
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