Yield Curve Smoothing and Residual Variance of Fixed Income Positions

DOI10.1007/978-3-319-02069-3_10zbMath1418.91551OpenAlexW4391123744MaRDI QIDQ4561934

Raphaël Douady

Publication date: 13 December 2018

Published in: Inspired by Finance (Search for Journal in Brave)

Full work available at URL: https://hal.science/hal-00666751

zbMATH Keywords

term structure of interest ratesHeath-Jarrow-Morton modelyield curveasymptotic arbitragecylindrical Brownian motionfixed-income models

Mathematics Subject Classification ID

Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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