OpenUCT Home
→
Browsing by Author

Browsing by Author "Backwell, Alexander"

Now showing items 1-1 of 1

Term structure models with unspanned factors and unspanned stochastic volatility

Author: Backwell, Alexander Date: 2018 Certain models of the term structure of interest rates exhibit unspanned stochastic volatility (USV). A model has this property if it involves a source of stochastic variation — called an unspanned factor — that does not affect the model’s ... Read more

Now showing items 1-1 of 1

Browse

All of OpenUCT