Asymptotics of bond yields and volatilities for extended CIR models under the real-world measure
K. Fergusson
| Year of publication: |
2019
|
|---|---|
| Authors: | Fergusson, K. |
| Subject: | Actuarial valuation | Cox-Ingersoll-Ross model | long-term yield | stochastic short rate | Zinsstruktur | Yield curve | Theorie | Theory | Volatilität | Volatility | Anleihe | Bond | Portfolio-Management | Portfolio selection | Kapitaleinkommen | Capital income | Stochastischer Prozess | Stochastic process | Rendite | Yield |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2019.1627574 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012195006