AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
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Publication:5704729
DOI10.1142/S0219024905003244zbMath1138.91470OpenAlexW2241776471MaRDI QIDQ5704729
Publication date: 15 November 2005
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024905003244
square root processgrowth optimal portfoliofair pricinginterest rate term structuremarket price for risk
Microeconomic theory (price theory and economic markets) (91B24) Probabilistic measure theory (60A10)
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Cites Work
- A two-factor model for low interest rate regimes
- MODELING THE VOLATILITY AND EXPECTED VALUE OF A DIVERSIFIED WORLD INDEX
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- AN EMPIRICAL INVESTIGATION OF THE FORWARD INTEREST RATE TERM STRUCTURE
- Phenomenology of the interest rate curve
- Volatility skews and extensions of the Libor market model
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