Unspanned stochastic volatility and fixed income derivatives pricing

Journal of Banking and Finance

Volumn 29, Issue 11, 2005, Pages 2723-2749

  Casassus, Jaime ^a   Collin Dufresne, Pierre ^b   Goldstein, Bob ^c  

^a PONTIFICIA UNIVERSIDAD CATÓLICA DE CHILE   (Chile)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c UNIVERSITY OF MINNESOTA   (United States)

Author keywords

HJM; Stochastic volatility; Term structure

Indexed keywords

EID: 25144435359     PISSN: 03784266     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jbankfin.2005.02.007     Document Type: Article

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