Robust Log-normal Stochastic Volatility for Interest Rate Dynamics
Year of publication: |
2023
|
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Authors: | Sepp, Artur ; Rakhmonov, Parviz |
Publisher: |
[S.l.] : SSRN |
Subject: | Volatilität | Volatility | Stochastischer Prozess | Stochastic process | Zins | Interest rate | Theorie | Theory | Zinsstruktur | Yield curve | Robustes Verfahren | Robust statistics |
Extent: | 1 Online-Ressource (20 p) |
---|---|
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 31, 2022 erstellt |
Other identifiers: | 10.2139/ssrn.4315906 [DOI] |
Classification: | G13 - Contingent Pricing; Futures Pricing ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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