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Theoretical and empirical analysis of common factors in a term structure model /
This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common fac...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Newcastle upon Tyne :
Cambridge Scholars Pub.,
2009.
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| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | This paper is the first that completely studies dynamical and cross-sectional structures of bonds, typically used as risk-free assets in mathematical finance, on the independence of the common factors with the empirical copula. During the last decade, financial models based empirically on common factors have acquired increasing popularity in risk management and asset pricing. Much has been published on the subject, but the technical nature of most papers makes them difficult for non-specialis ... |
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| Descripción Física: | 1 online resource (xi, 38 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 37-38). |
| ISBN: | 1443815829 9781443815826 1282414755 9781282414754 9786612414756 6612414758 |
| Acceso: | Legal Deposit; |