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On swap rate dynamics: to freeze or not to freeze? - MaRDI portal

On swap rate dynamics: to freeze or not to freeze? (Q3174922)

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On swap rate dynamics: to freeze or not to freeze?
scientific article

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    title
    On swap rate dynamics: to freeze or not to freeze? (English)
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    publication date
    18 July 2018
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    Mathematics Subject Classification ID
    91G30
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    91G70
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    91B84
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    60G44
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    62M10
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    zbMATH DE Number
    6905178
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    zbMATH Keywords
    drift freeze
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    low variance martingale
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    instantaneous forward rate
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    yield curve
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    Nelson Siegel model
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    OpenAlex ID
    W3122525924
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