Open AccessComputing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models
Author(s) -
Marcel A. Priebsch
Publication year - 2013
Publication title -
finance and economics discussion series
Language(s) - Uncategorized
Resource type - Journals
eISSN - 2767-3898
pISSN - 1936-2854
DOI - 10.17016/feds.2013.63
Subject(s) - affine term structure model , term (time) , short rate , affine transformation , yield curve , censoring (clinical trials) , gaussian , bond valuation , econometrics , mathematics , computer science , interest rate , economics , finance , physics , quantum mechanics , pure mathematics
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