An analytically tractable interest rate model with humped volatility

DOI10.1016/S0377-2217(98)00382-8zbMath1028.91589OpenAlexW1969282418MaRDI QIDQ1579480

J. M. Moraleda, Fabio Mercurio

Publication date: 14 September 2000

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0377-2217(98)00382-8

zbMATH Keywords

normal distributioninterest ratesGaussian errorsempirical testhumped volatilities

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

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Cites Work

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