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The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

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Author Info
Santa-Clara, Pedro
Sornette, Didier
Abstract

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Publisher Info
Article provided by Oxford University Press for Society for Financial Studies in its journal Review of Financial Studies.

Volume (Year): 14 (2001)
Issue (Month): 1 ()
Pages: 149-85
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Handle: RePEc:oup:rfinst:v:14:y:2001:i:1:p:149-85

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  1. Olivier Ledoit & Pedro Santa-Clara, 1998. "Relative Pricing of Options with Stochastic Volatility," University of California at Los Angeles, Anderson Graduate School of Management 1112, Anderson Graduate School of Management, UCLA. [Downloadable!]
  2. Kerkhof, J. & Pelsser, A., 2002. "Observational equivalence of discrete string models and market models," Discussion Paper 28, Tilburg University, Center for Economic Research. [Downloadable!]
  3. Roger Lord & Antoon Pelsser, 2005. "Level-Slope-Curvature - Fact or Artefact?," Tinbergen Institute Discussion Papers 05-083/2, Tinbergen Institute. [Downloadable!]
    Other versions:
  4. Feng Zhao & Robert Jarrow & Haitao Li, 2004. "Interest Rate Caps Smile Too! But Can the LIBOR Market Models Capture It?," Econometric Society 2004 North American Winter Meetings 431, Econometric Society. [Downloadable!]
  5. Vladislav Kargin, 2003. "Portfolio Management for a Random Field of Bond Returns," Finance 0310007, EconWPA. [Downloadable!]
  6. Eymen Errais & Fabio Mercurio, 2005. "Yes, Libor Models can capture Interest Rate Derivatives Skew : A Simple Modelling Approach," Computing in Economics and Finance 2005 192, Society for Computational Economics. [Downloadable!]
  7. Vladislav Kargin, 2002. "On Bond Portfolio Management," Quantitative Finance Papers math/0208130, arXiv.org, revised Mar 2003. [Downloadable!]
  8. Belal Baaquie & Jean-Philippe Bouchaud, 2004. ""Stiff" Field Theory of Interest Rates and Psychological Future Time," Science & Finance (CFM) working paper archive 500064, Science & Finance, Capital Fund Management. [Downloadable!]
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This page was last updated on 2009-11-28.


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