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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: 67
Pages: 67
Type: BOOK - Published: 2014 - Publisher:
We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses l
Language: en
Pages: 61
Pages: 61
Type: BOOK - Published: 2017 - Publisher:
We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned stochastic volatility. Our approach uses l
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
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