Implications of implicit credit spread volatilities on interest rate modelling
Viviana Fanelli
| Year of publication: |
1 December 2017
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|---|---|
| Authors: | Fanelli, Viviana |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 263.2017, 2 (1.12.), p. 707-718
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| Subject: | Finance | Arbitrage-free models | Libor | Term structure | Volatility modelling | Zinsstruktur | Yield curve | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Zinsderivat | Interest rate derivative | Stochastischer Prozess | Stochastic process | Risikoprämie | Risk premium | Kreditrisiko | Credit risk | Arbitrage Pricing | Arbitrage pricing |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2017.06.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011794020