Generation of scenarios for the interest rates under the arbitrage-free dynamic Nelson-Siegel model
Stéphane Dang-Nguyen, Yves Rakotondratsimba
| Year of publication: |
2016
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|---|---|
| Authors: | Dang-Nguyen, Stéphane ; Rakotondratsimba, Yves |
| Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0909, ZDB-ID 2735250-X. - Vol. 2.2016, 3, p. 220-255
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| Subject: | interest rate term structure | arbitrage-free dynamic Nelson-Siegel model | Monte-Carlo pricing | risk management | Zinsstruktur | Yield curve | Theorie | Theory | Prognoseverfahren | Forecasting model | Arbitrage Pricing | Arbitrage pricing | Risikomanagement | Risk management | Zins | Interest rate |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011778857