Staying at Zero with Affine Processes : An Application to Term Structure Modelling
Year of publication: |
2015
|
---|---|
Authors: | Monfort, Alain |
Other Persons: | Pegoraro, Fulvio (contributor) ; Renne, Jean-Paul (contributor) ; Roussellet, Guillaume (contributor) |
Publisher: |
[2015]: [S.l.] : SSRN |
Subject: | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory |
Extent: | 1 Online-Ressource (45 p) |
---|---|
Series: | Banque de France Working Paper ; No. 558 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 2015 erstellt |
Other identifiers: | 10.2139/ssrn.2617675 [DOI] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; G12 - Asset Pricing |
Source: | ECONIS - Online Catalogue of the ZBW |
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