A cyclical square-root model for the term structure of interest rates
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Publication:299796
DOI10.1016/j.ejor.2014.08.010zbMath1338.91144OpenAlexW1984165459MaRDI QIDQ299796
F. Blanchet-Sadri, M. Dambrine
Publication date: 23 June 2016
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2014.08.010
Statistical methods; risk measures (91G70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
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