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    • Approximating risk premium on a parametric arbitrage-free term structure model 

      Almeida, Caio Ibsen Rodrigues de; Ardison, Kym Marcel Martins; Kubudi, Daniela
      2014-11-14
      In this paper we approximate the risk factors of a polynomial arbitrage-free dynamic term structure model by running a sequential set of linear regressions independent across time. This approximation avoids the cost of a ...