Modelling the Uruguayan Debt Through Gaussians Models

DOI10.1007/978-3-319-32543-9_17zbMath1407.91254arXiv1508.00108OpenAlexW2125182196MaRDI QIDQ4606782

Andrés Sosa, Ernesto Mordecki

Publication date: 9 March 2018

Published in: Trends in Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1508.00108

zbMATH Keywords

stochastic processesyield curveinterest rate modelsarbitrage possibilitiesforward-rate modelsterm structure surfaceUruguayan sovereign bonds

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

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