مرکز منطقه ای اطلاع رساني علوم و فناوري - Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleratio

Title of article :

Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleratio

Author/Authors :

Gurupdesh Pandher، نويسنده ,

Issue Information :

دوماهنامه با شماره پیاپی سال 2007

Pages :

From page :

432

To page :

459

Keywords :

Arbitrage-free restriction , Forward rates , Volatility estimation , HJM

Journal title :

Journal of Economic Theory

Serial Year :

2007

Journal title :

Journal of Economic Theory

Record number :

147735

Link To Document :