On dynamic forward rate modeling and principal component analysis
Hans-Peter Bermin
| Year of publication: |
2014
|
|---|---|
| Authors: | Bermin, Hans-Peter |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 17.2014, 5, p. 1-20
|
| Subject: | Interest rates | yield curve | term structure | forward rates | principal component analysis | Karhunen-Loève expansion | Zinsstruktur | Yield curve | Theorie | Theory | Hauptkomponentenanalyse | Principal component analysis | Zinsderivat | Interest rate derivative | Zins | Interest rate | Währungsderivat | Currency derivative |
| Extent: | graph. Darst. |
|---|---|
| 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/10010437211