Bond markets with stochastic volatility
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Publication:3572018
DOI10.1016/S0731-9053(08)22009-8zbMath1189.91213OpenAlexW2497583680MaRDI QIDQ3572018
Rafael Desantiago, Knut Sølna, Jean-Pierre Fouque
Publication date: 30 June 2010
Published in: Econometrics and Risk Management (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0731-9053(08)22009-8
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)
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