Consistent initial curves for interest rate models

Journal of Derivatives

Volumn 9, Issue 4, 2002, Pages 8-17

  Angelini, Flavio ^a   Herzel, Stefano ^a  

^a UNIVERSITY OF PERUGIA   (Italy)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 27344439184     PISSN: 10741240     EISSN: None     Source Type: Journal    
DOI: 10.3905/jod.2002.319182     Document Type: Article

References (13)

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10. Musiela, M. "Stochastic PDEs and Term Structure Models." Journale Internationales de Finance, June 1993.
11. Navas, J.F. "Consistent versus Non-Consistent Term Structure Models: Some Evidence from the Spanish Market." The Journal of Fixed Income, December 1999, pp. 42-60.
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