Quantification of Spread Risk by Means of Historical Simulation

DOI10.1007/978-3-540-69179-2_2MaRDI QIDQ3542246zbMATH OpenOpenAlexFDO

Authors Christoph Frisch, Germar Knöchlein

Publication date 1 December 2008

Published in Applied Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-540-69179-2_2

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

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