Title of article :
An analytically tractable interest rate model with humped volatility
Author/Authors :
F. Mercurio، نويسنده , , J. M. Moraleda، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2000
Keywords :
Analytical formulae , Heath , Europeanoptions , Gaussian errors , normal distribution , Humped volatilities , Empirical test , Jarrow and Mortonיs framework , Interest rates
Journal title :
European Journal of Operational Research
Journal title :
European Journal of Operational Research
