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Dynamic principal component analysis of multivariate volatility via Fourier analysis
Mancino, Maria Elvira; Renò, Roberto - In: Applied mathematical finance 12 (2005) 2, pp. 187-199
Persistent link: https://www.econbiz.de/10002989949
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Arbitrary initial term structure within the CIR model : a perturbative solution
Mari, Carlo; Renò, Roberto - In: Applied mathematical finance 13 (2006) 2, pp. 143-153
Persistent link: https://www.econbiz.de/10003331421
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Dynamic Principal Component Analysis of Multivariate Volatility via Fourier Analysis
Mancino, Maria Elvira; Renò, Roberto - In: Applied mathematical finance 12 (2005) 2, pp. 187
Persistent link: https://www.econbiz.de/10008214117
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Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
Mari, Carlo; Renò, Roberto - In: Applied mathematical finance 13 (2006) 2, pp. 143-154
Persistent link: https://www.econbiz.de/10008222273