Calibrating Short Interest Rate Models in Negative Rate Environments

Journal of Derivatives, Summer 2017, Vol. 24, No. 4: pp. 80-92

Author(s):

Vincenzo Russo

Journal of Derivatives, Summer 2017, Vol. 24, No. 4: pp. 80-92

Type: Academic publication
Date: le 04/07/2017
Research Cluster : Finance
Source : Journal of Derivatives

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