An affine model for short rates when monetary policy is path dependent
type: Item
instance of: scholarly article
title: An affine model for short rates when monetary policy is path dependent
zbMATH Open document ID: 1546.91255
author: Haitham A. Al-Zoubi
published in: Review of Derivatives Research
publication date: 2024-08-29T00:00:00Z
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 91B64
Mathematics Subject Classification ID: 60G50
zbMATH DE Number: 7903265
zbMATH Keywords: short rates
zbMATH Keywords: stochastic volatility
zbMATH Keywords: continuous-time estimation
zbMATH Keywords: option options
MaRDI profile type: Publication
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DOI: 10.1007/S11147-024-09202-3
description: scientific article; zbMATH DE number 7903265