Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions

Annals of Operations Research

Volumn 151, Issue 1, 2007, Pages 151-178

  Bali, Turan G ^a  

^a CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Diffusions; GARCH; Interest rate options; Modeling interest rates; Stochastic volatility

Indexed keywords

EID: 33847305463     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-006-0116-6     Document Type: Conference Paper

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