The Q-measure dynamics of forward rates
Riccardo Rebonato
| Year of publication: |
2023
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|---|---|
| Authors: | Rebonato, Riccardo |
| Published in: |
Annual review of financial economics. - Palo Alto, Calif. : Annual Reviews, ISSN 1941-1375, ZDB-ID 2516758-3. - Vol. 15.2023, p. 493-522
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| Subject: | forward rates | volatility | correlation | no-arbitrage | pricing models | Volatilität | Volatility | Zinsderivat | Interest rate derivative | Zinsstruktur | Yield curve | Theorie | Theory | Korrelation | Correlation | Währungsderivat | Currency derivative | Wechselkurs | Exchange rate | Derivat | Derivative | Arbitrage Pricing | Arbitrage pricing | Arbitrage |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1146/annurev-financial-110921-021453 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014426352