Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk
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Publication:5215442
DOI10.1080/14697688.2019.1636124zbMath1431.91439OpenAlexW2963161329WikidataQ127458642 ScholiaQ127458642MaRDI QIDQ5215442
Vladimir Chorniy, Vinay Kotecha
Publication date: 10 February 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1636124
Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Credit risk (91G40)
Related Items (1)
Cites Work
- Estimating continuous-time stochastic volatility models of the short-term interest rate
- A generalized procedure for building trees for the short rate and its application to determining market implied volatility functions
- Universal regimes for rates and inflation: the effect of local elasticity on market and counterparty risk
- The nature of the dependence of the magnitude of rate moves on the rates levels: a universal relationship
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