Interest rate dynamics, derivatives pricing, and risk management /
This book presents a three-factor model of the term structure of interest rates in which the short mean and volatility of the short rate are stochastic. By this specification, this model has nested many of the term structure models in the existing literature. Based on this rather realistic and sophi...
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| Format: | eBook |
| Language: | English |
| Published: |
Berlin ; New York :
Springer,
[1996]
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| Series: | Lecture notes in economics and mathematical systems ;
435. |
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| Online Access: | Connect to the full text of this electronic book |
Internet
Connect to the full text of this electronic bookAvailable Online
| Call Number: |
HG6024.A3 C4853 1996 |
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| Call Number | Status | Get It |
| HG6024.A3 C4853 1996 | Available | |