Numerical integration of mean reverting stochastic systems with applications to interest rate term structure simulation
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DOI: 10.1080/135048699334591
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- Dothan, L. Uri, 1978. "On the term structure of interest rates," Journal of Financial Economics, Elsevier, vol. 6(1), pages 59-69, March.
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Keywords
Numerical Integration; Stochastic Differential Systems; Mean Reversion; Term Structure; Simulation; Value-at-risk;All these keywords.
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