𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Stochastic Volatility in a Macro-Finance Model of the U.S. Term Structure of Interest Rates 1961–2004

✍ Scribed by PETER D. SPENCER

Book ID
109146914
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
637 KB
Volume
40
Category
Article
ISSN
0022-2879

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Accounting for stochastic interest rates
Accounting for stochastic interest rates, stochastic volatility and a general correlation structure in the valuation of forward starting options
✍ Alexander Van Haastrecht; Antoon Pelsser 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 366 KB 👁 1 views

factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende