Interest rate volatility and no-arbitrage affine term structure models
Scott Joslin, Anh Le
| Year of publication: |
2021
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|---|---|
| Authors: | Joslin, Scott ; Le, Anh |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 67.2021, 12, p. 7391-7416
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| Subject: | finance | asset pricing | investment | economics | econometrics | term structure models | interest rate | volatility | Zinsstruktur | Yield curve | Volatilität | Volatility | Zins | Interest rate | CAPM | Optionspreistheorie | Option pricing theory | Ökonometrie | Econometrics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2020.3858 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012815286