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Characterizing Gaussian Models of the Term Structure of Interest Rates

✍ Scribed by D. P. Kennedy


Book ID
108550404
Publisher
John Wiley and Sons
Year
1997
Tongue
English
Weight
155 KB
Volume
7
Category
Article
ISSN
0960-1627

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Improving the term structure of interest
✍ Lourdes GΓ³mez-Valle; Julia MartΓ­nez-RodrΓ­guez πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 241 KB πŸ‘ 2 views

## Abstract We consider a new approach for estimating the coefficients of the term structure equation in two‐factor models. This approach is based on the fact that the risk‐neutral drifts of the factors are directly estimated. Therefore, the market prices of risk and the physical drifts do not have