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SYMPOSIUM ON TERM STRUCTURE MODELS AND INTEREST RATE VOLATILITY - QUADRATIC INTEREST RATE MODELS As APPROXIMATIONS TO EFFECTIVE RATE MODELS - Many of the classic stochastic interest rate models use the instantaneous spot rate as the fundamental state variable. For both practical and theoretical reasons, it is sometimes convenient to base the model on the effective interest rate over some period ...

Boyle, Phelim P.; Tian, Weidong - In: The journal of fixed income 9 (1999) 3, pp. 69-81

Persistent link: https://www.econbiz.de/10007182905

Quadratic interest rate models as approximations to effective rate models

Boyle, Phelim P.; Tian, Wei Dong - In: The journal of fixed income 9 (1999) 3, pp. 69-80

Persistent link: https://www.econbiz.de/10001448124

Leverage and closed-end bond funds

Boyle, Phelim P.; Szaura, Stephen - In: The journal of fixed income 24 (2015) 4, pp. 47-59

Persistent link: https://www.econbiz.de/10011293460

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