The CARMA interest rate model
Arne Andresen; Fred Espen Benth; Steen Koekebakker and Valeriy Zakamulin
| Year of publication: |
2014
|
|---|---|
| Authors: | Andresen, Arne ; Benth, Fred Espen ; Koekebakker, Steen ; Zakamulin, Valeriy |
| 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, 2, p. 1-27
|
| Subject: | Interest rate model | short rate | forward rate | term structure | CARMA process | bond pricing | bond option pricing | yield curve | volatility curve | calibration | Zinsstruktur | Yield curve | Zinsderivat | Interest rate derivative | Optionspreistheorie | Option pricing theory | Anleihe | Bond | Volatilität | Volatility |
| 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/10010363925