The Swaption Cube
Author:
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics,Finance,Accounting
Link
http://academic.oup.com/rfs/article-pdf/27/8/2307/5461098/hhu015.pdf
Reference66 articles.
1. Andersen L. Piterbarg V. Interest rate modeling. Atlantic Financial Press; 2010.
2. Estimating continuous-time stochastic volatility models of the short-term interest rate
3. The Determinants of Stock and Bond Return Comovements
4. Stochastic risk premiums, stochastic skewness in currency options, and stochastic discount factors in international economies
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