CONSISTENT YIELD CURVE PREDICTION
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Publication:4563766
DOI10.1017/asb.2015.30zbMath1390.91310OpenAlexW2416633506MaRDI QIDQ4563766
Josef Teichmann, Mario V. Wüthrich
Publication date: 4 June 2018
Published in: ASTIN Bulletin (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/d9c8e529fa91fc1520840f5098e23ced1a089517
no-arbitrageyield curve predictionHeath-Jarrow-Morton type modelvolatility scaling factors and return directions
Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cites Work
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