From structural assumptions to a link between assets and interest rates
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Author / Producer
Date
2007-02
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
METADATA ONLY
Data
Rights / License
Permanent link
Publication status
published
External links
Editor
Book title
Journal / series
Volume
31 (2)
Pages / Article No.
593 - 612
Publisher
Elsevier
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Assets; Interest rates; Testable relation; Asset index; Volatility structure; Short rate; Homogeneous
Organisational unit
03658 - Schweizer, Martin / Schweizer, Martin
Notes
Received 10 May 2004, Accepted 18 December 2005, Available online 18 April 2006.