Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications

International Journal of Theoretical and Applied Finance, Vol. 24 N° 7 pp. 1 - 36, March 2020

Author(s):

Riccardo Rebonato

EDHEC Business School

Ivan Saroka

Vlad Putiatyn

International Journal of Theoretical and Applied Finance, Vol. 24 N° 7 pp. 1 - 36, March 2020

Type: Academic publication
Date: le 01/03/2020
Research Cluster : Finance
Source : International Journal of Theoretical and Applied Finance

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