Calibrating short interest rate models in negative rate environments
Year of publication: |
2016
|
---|---|
Authors: | Russo, Vincenzo ; Fabozzi, Frank J. |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 24.2017, 4, p. 80-92
|
Subject: | Zinsderivat | Interest rate derivative | negative interest rates |
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