An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
Author:
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
http://www.tandfonline.com/doi/pdf/10.1080/14697688.2013.765062
Reference10 articles.
1. Valuation of sinking-fund bonds in the Vasicek and CIR frameworks∗Financial support from Murst Fondo 40% on ‘Modelli di struttura a termine dei tassi d'interesse’ is gratefully acknowledged.
2. Björk, T.Arbitrage Theory in Continuous Time, 3rd ed., 2009 (Oxford University Press: Oxford).
3. Cairns, A.Interest Rate Models: An Introduction, 2004 (Princeton University Press: Princeton, NJ).
4. A Theory of the Term Structure of Interest Rates
5. A YIELD-FACTOR MODEL OF INTEREST RATES
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