Principal-Component-Based Gaussian Affine Term Structure...

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International Journal of Theoretical and Applied Finance 2020 / 01

Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications

Rebonato, Riccardo, Saroka, Ivan, Putiatyn, Vlad
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Language:
english
Journal:
International Journal of Theoretical and Applied Finance
DOI:
10.1142/S0219024920500089
Date:
January, 2020
File:
PDF, 1.28 MB
english, 2020
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