Simulating and validating a multi-factor Heath, Jarrow and Morton model with negative interest rates
Robert A. Jarrow, Donald R. van Deventer
| Year of publication: |
2015
|
|---|---|
| Authors: | Jarrow, Robert A. ; Deventer, Donald R. van |
| Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 8.2015, 4, p. 332-346
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| Subject: | HJM model | term structure of interest rates | arbitrage free | multiple factors | negative interest rates | affine models | Zinsstruktur | Yield curve | Theorie | Theory | Arbitrage | Niedrigzinspolitik | Low-interest-rate policy | Zins | Interest rate | Schätzung | Estimation |
| 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://ebvufind01.dmz1.zbw.eu/10011531186