Consistent recalibration of yield curve models

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Author
Harms, Philipp
Stefanovits, David
Teichmann, Josef
Wüthrich, Mario V.
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Date
2018-07
Type
    Journal Article
Publication status
published
External links
Journal / series
Mathematical Finance
Volume
28(3)
Pages / Article No.
757 - 799
Publisher
Wiley-Blackwell
Subject
Term structure; Interest rate; consistent re-calibration; Yield curve; Hull-White extension
Organisational unit
08813 - Wüthrich, Mario Valentin (Tit.-Prof.)  
03845 - Teichmann, Josef / Teichmann, Josef  
Funding
149879 - Prediction Theory of term structure models (SNF)
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Citations
Cited 5 times in Web of Science
Cited 7 times in Scopus
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yes
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