A tractable yield-curve model that guarantees positive interest rates
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Publication:375261
DOI10.1007/BF01531145zbMATH Open1274.91437OpenAlexW1970504406MaRDI QIDQ375261FDOQ375261
Authors: Antoon Pelsser 
Publication date: 29 October 2013
Published in: Review of Derivatives Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01531145
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Cites Work
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- Calibration of one-factor and two-factor hull-white models using swaptions
- Derivative pricing for a multi-curve extension of the Gaussian, exponentially quadratic short rate model
- Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate
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