Consistent recalibration of yield curve models
Author:
Affiliation:
1. Abteilung für Mathematische Stochastik; Albert-Ludwigs-Universität Freiburg; Freiberg Germany
2. david.stefanovits@gmail.com
3. Department of Mathematics; ETH Zürich; Zurich Switzerland
4. RiskLab Switzerland
Funder
Eidgenössische Technische Hochschule Zürich
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12159/fullpdf
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