Testing Distributions of Stochastically Generated Yield Curves

DOI10.2143/AST.34.1.504963zbMath1098.91061OpenAlexW4244963446MaRDI QIDQ4661706

Gary Venter

Publication date: 30 March 2005

Published in: ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2143/ast.34.1.504963

zbMATH Keywords

interest ratesfinancial modeling

Mathematics Subject Classification ID

Cites Work

• Exact solutions for bond and option prices with systematic jump risk
• A Theory of the Term Structure of Interest Rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure

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