Yield Curve Smoothing and Residual Variance of Fixed Income Positions
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- Raphaël Douady, 2014. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Documents de travail du Centre d'Economie de la Sorbonne 14091, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Raphaël Douady, 2013. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00666751, HAL.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1999.
"Phenomenology of the interest rate curve,"
Applied Mathematical Finance,
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- Rene Carmona & Michael Tehranchi, 2004. "A Characterization of Hedging Portfolios for Interest Rate Contingent Claims," Papers math/0407119, arXiv.org.
- repec:wsi:ijtafx:v:08:y:2005:i:03:n:s0219024905003049 is not listed on IDEAS
More about this item
Keywordsinterest rate models; arbitrage pricing; infinite dimensional models; Martingale methods;
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2015-06-05 (All new papers)
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