EXPLAINING THE FORWARD INTEREST RATE TERM STRUCTURE

DOI10.1142/S0219024900000243zbMath0970.91019arXivcond-mat/9909396OpenAlexW3122894542MaRDI QIDQ4521260

Jean-Philippe Bouchaud, Andrew Matacz

Publication date: 23 October 2001

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/cond-mat/9909396

zbMATH Keywords

forward rate curvevolatilityvalue-at-risk like pricing

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation

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