|
|||||
|
|
A deterministic–shift extension of analytically–tractable and time–homogeneous short–rate models |
|
| Authors: | Damiano Brigo Fabio Mercurio |
| Institution: | (1) Product and Business Development Group, Banca IMI, SanPaolo IMI Group, Corso Matteotti 6, 20121 Milano, Italy (e-mail: {brigo,fmercurio}@bancaimi.it) , IT |
| Abstract: | |
| Keywords: | : Short– rate models Analytical tractability Exponential Vasicek model Cox-Ingersoll-Ross' model Calibration to market data |
| 本文献已被 SpringerLink 等数据库收录！ | |