Factor Models and the Shape of the Term Structure
Year of publication: 
199701


Authors:  Schloegl, Erik ; Sommer, Daniel 
Institutions:  University of Bonn, Germany 
Subject:  multifactor term structure models  spread options  term structure shapes  forward rate curves  mean reversion 

On the geometry of interest rate models
Björk, Tomas, (2003)

On the Existence of Finite Dimensional Realizations for Nonlinear Forward Rate Models
Björk, Tomas, (1999)

On the Geometry of Interest Rate Models
Björk, Tomas, (2003)
 More ...

Robustness of Gaussian Hedges and the Hedging of Fixed Income Derivatives
Dudenhausen, Antje, (1999)

A Tractable Term Structure Model with Endogenous Interpolation and Positive Interest Rates
Schloegl, Erik, (1997)

Sommer, Daniel, (1997)
 More ...