Cargando…
Yield curves and forward curves for diffusion models of short rates
This book is dedicated to the study of the term structures of the yields of zero-coupon bonds. The methods it describes differ from those usually found in the literature in that the time variable is not the term to maturity but the interest rate duration, or another convenient non-linear transformat...
| Autor principal: | |
|---|---|
| Lenguaje: | eng |
| Publicado: |
Springer
2019
|
| Materias: | |
| Acceso en línea: | https://dx.doi.org/10.1007/978-3-030-15500-1 http://cds.cern.ch/record/2678307 |