A noisy principal component analysis for forward rate curves
Márcio Poletti Laurini; Alberto Ohashi
| Year of publication: |
2015
|
|---|---|
| Authors: | Laurini, Márcio Poletti ; Ohashi, Alberto |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 246.2015, 1 (1.10.), p. 140-153
|
| Subject: | Finance | Pricing | Principal component analysis | Term-structure of interest rates | HJM models | Zinsstruktur | Yield curve | Theorie | Theory | Hauptkomponentenanalyse | Zins | Interest rate | Zinsderivat | Interest rate derivative |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011341688