This study introduces a generalized discrete time framework to evaluate the empirical performance of a wide variety of well-known models in capturing the dynamic behavior of short-term interest rates. A new class of models that displays nonlinearity and asymmetry in the drift, and incorporates the l
Pascal spreading of short-term interest rate contracts
β Scribed by John J. Merrick; Jr.
- Publisher
- John Wiley and Sons
- Year
- 2000
- Tongue
- English
- Weight
- 161 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0270-7314
No coin nor oath required. For personal study only.
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