A model of discontinuous interest rate behavior, yield curves, and volatility
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 10 (2007)
Issue (Month): 3 (December)
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Web page: http://www.springerlink.com/link.asp?id=102989
Interest rates; Yield curve; Levy process;
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- Ingersoll, Jonathan E. & Skelton, Jeffrey & Weil, Roman L., 1978. "Duration Forty Years Later," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 13(04), pages 627-650, November.
- Ernst Eberlein & Sebastian Raible, 1999. "Term Structure Models Driven by General Lévy Processes," Mathematical Finance, Wiley Blackwell, vol. 9(1), pages 31-53.
- Brown, Stephen J & Dybvig, Philip H, 1986. " The Empirical Implications of the Cox, Ingersoll, Ross Theory of the Term Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 41(3), pages 617-30, July.
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