PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS (Q5114678)
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scientific article; zbMATH DE number 7214796
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS |
scientific article; zbMATH DE number 7214796 |
Statements
PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS (English)
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25 June 2020
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affine term structure models
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principal components
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risk premia
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market price of risk
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