Higher order forward rate agreements and the smoothness of the term structure
Year of publication: |
1998
|
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Authors: | Jaschke, Stefan R. |
Publisher: |
Berlin : Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |
Subject: | linear programming | arbitrage | term structure of interest rates | smoothing splines | forward rates | dominance |
Series: | SFB 373 Discussion Paper ; 1999,13 |
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Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Working Paper |
Language: | English |
Other identifiers: | 722167261 [GVK] hdl:10419/61714 [Handle] RePEc:zbw:sfb373:199913 [RePEc] |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; C14 - Semiparametric and Nonparametric Methods |
Source: |
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Higher order forward rate agreements and the smoothness of the term structure
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