GENERAL ANALYSIS OF LONG-TERM INTEREST RATES

DOI10.1142/S0219024920500028zbMath1437.91439OpenAlexW2996105065WikidataQ126584764 ScholiaQ126584764MaRDI QIDQ5221478

Francesca Biagini, Maximilian Härtel, Alessandro Gnoatto

Publication date: 26 March 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://www.fm.mathematik.uni-muenchen.de/download/publications/biagini_long_term_swap_rate.pdf

zbMATH Keywords

term structurelong-term yieldlong-term simple ratelong-term swap rateovernight indexed swap

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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