Consistent recalibration of yield curve models
Philipp Harms, David Stefanovits, Josef Teichmann, Mario V. Wüthrich
| Year of publication: |
2018
|
|---|---|
| Authors: | Harms, Philipp ; Stefanovits, David ; Teichmann, Josef ; Wüthrich, Mario V. |
| Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial economics. - Oxford [u.a.] : Wiley-Blackwell, ISSN 1467-9965, ZDB-ID 1481288-5. - Vol. 28.2018, 3, p. 757-799
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| Subject: | term structure | interest rate | consistent re-calibration | yield curve | Hull-White extension | Zinsstruktur | Yield curve | Theorie | Theory | Kapitaleinkommen | Capital income |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/mafi.12159 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011969080