Discount curve construction with tension splines
| Year of publication: |
2007
|
|---|---|
| Authors: | Andersen, Leif |
| Published in: |
Review of Derivatives Research. - Springer. - Vol. 10.2007, 3, p. 227-267
|
| Publisher: |
Springer |
| Subject: | Discount curves | Hyperbolic tension splines | Bond pricing | Swap pricing | Perturbation locality | Optimality |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005709849