What is the natural scale for a Lévy process in modelling term structure of interest rates?
Jirô Akahori; Takahiro Tsuchiya
| Year of publication: |
2007
|
|---|---|
| Authors: | Akahori, Jirô ; Tsuchiya, Takahiro |
| Published in: |
Asia-Pacific financial markets. - Dordrecht [u.a.] : Springer, ISSN 1387-2834, ZDB-ID 1431844-1. - Vol. 13.2006, 4, p. 299-313
|
| Subject: | Zinsstruktur | Yield curve | Stochastischer Prozess | Stochastic process |
| 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/10003609509