A one-factor shifted squared Gaussian term structure model for interest rate modeling
Vincenzo Russo and Frank J. Fabozzi
| Year of publication: |
2016
|
|---|---|
| Authors: | Russo, Vincenzo ; Fabozzi, Frank J. |
| Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 25.2016, 3, p. 36-45
|
| Subject: | Zinsstruktur | Yield curve | Optionspreistheorie | Option pricing theory | Schätztheorie | Estimation theory | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process |
| 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/10011430618