Related Books
Language: en
Pages: 50
Pages: 50
Type: BOOK - Published: 2016 - Publisher:
The interest rate transition from the positive environment, into the negative territory questions the consensus of interest rates and opens up a wide field of u
Language: en
Pages: 134
Pages: 134
Type: BOOK - Published: 2018 - Publisher:
Certain models of the term structure of interest rates exhibit unspanned stochastic volatility (USV). A model has this property if it involves a source of stoch
Language: en
Pages:
Pages:
Type: BOOK - Published: 1999 - Publisher:
In this paper a three-factor model of the term structure of interest rates is developed. In the model the future short rate depends on 1) the current short rate
Language: en
Pages: 66
Pages: 66
Type: BOOK - Published: 2016 - Publisher:
We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features unspanned stochastic volatilit
Language: en
Pages: 65
Pages: 65
Type: BOOK - Published: 2004 - Publisher:
We evaluate the ability of several affine models to explain the term structure of the interest rates and option prices. Since the key distinguishing characteris