A FAMILY OF MODELS EXPLAINING THE LEVEL-SLOPE-CURVATURE EFFECT

DOI10.1142/S021902490300192XzbMath1079.91531MaRDI QIDQ5696851

Liliana Forzani, Carlos Tolmasky

Publication date: 19 October 2005

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

zbMATH Keywords

principal components analysisHeath-Jarrow-Morton

Mathematics Subject Classification ID

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Cites Work

• The Pricing of Options and Corporate Liabilities
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities