Unspanned stochastic volatility in the multifactor CIR model
dc.contributor.author
Filipović, Damir
dc.contributor.author
Larsson, Martin
dc.contributor.author
Statti, Francesco
dc.date.accessioned
2019-06-21T14:08:59Z
dc.date.available
2019-06-21T05:26:05Z
dc.date.available
2019-06-21T14:08:59Z
dc.date.issued
2019-07
dc.identifier.issn
0960-1627
dc.identifier.issn
1467-9965
dc.identifier.other
10.1111/mafi.12193
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/348904
dc.language.iso
en
en_US
dc.publisher
Wiley
en_US
dc.subject
incomplete bond markets
en_US
dc.subject
multifactor Cox–Ingersoll‐Ross model
en_US
dc.subject
unspanned stochastic volatility
en_US
dc.title
Unspanned stochastic volatility in the multifactor CIR model
en_US
dc.type
Journal Article
dc.date.published
2018-09-26
ethz.journal.title
Mathematical Finance
ethz.journal.volume
29
en_US
ethz.journal.issue
3
en_US
ethz.journal.abbreviated
Math. finance
ethz.pages.start
827
en_US
ethz.pages.end
836
en_US
ethz.identifier.wos
ethz.identifier.scopus
ethz.publication.place
Hoboken, NJ
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09546 - Larsson, Martin (ehemalig) / Larsson, Martin (former)
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::09546 - Larsson, Martin (ehemalig) / Larsson, Martin (former)
ethz.date.deposited
2019-06-21T05:26:15Z
ethz.source
SCOPUS
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2019-06-21T14:09:30Z
ethz.rosetta.lastUpdated
2020-02-15T19:47:19Z
ethz.rosetta.versionExported
true
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Journal Article [130417]