Testing Distributions of Stochastically Generated Yield Curves

DOI10.2143/AST.34.1.504963MaRDI QIDQ4661706zbMATH OpenOpenAlexFDO

Authors G. Venter

Publication date 30 March 2005

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.34.1.504963

zbMATH Keywords

financial modelinginterest rates

Mathematics Subject Classification ID

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Cites work

• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• Exact solutions for bond and option prices with systematic jump risk

Cited in

(2)

• Representative Interest Rate Scenarios
• Multiple yield curve modeling and forecasting using deep learning

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