Yield Curve Smoothing and Residual Variance of Fixed Income Positions (Q4561934)
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scientific article; zbMATH DE number 6993395
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Yield Curve Smoothing and Residual Variance of Fixed Income Positions |
scientific article; zbMATH DE number 6993395 |
Statements
Yield Curve Smoothing and Residual Variance of Fixed Income Positions (English)
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13 December 2018
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cylindrical Brownian motion
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term structure of interest rates
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yield curve
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Heath-Jarrow-Morton model
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fixed-income models
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asymptotic arbitrage
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