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ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS - MaRDI portal

ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS (Q3191835)

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English
ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS
scientific article

    Statements

    title
    ON DYNAMIC FORWARD RATE MODELING AND PRINCIPAL COMPONENT ANALYSIS (English)
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    author
    Hans-Peter Bermin
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    publication date
    25 September 2014
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    zbMATH Keywords
    interest rates
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    yield curve
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    term structure
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    forward rates
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    principal component analysis
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    Karhunen-Loève expansion
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    60G48
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    60J65
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    60H05
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    62H25
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    zbMATH DE Number
    6347651
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