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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 |
Tabla de Contenidos:
- Introductory note; contents; list of tables; list of figures; 1. introduction; 2. common factors of random variables; 3. common factors of stochastic processes; 4. modelling the us treasury bonds; 5. the independency of the first two common factors; 6. conclusion; references.