Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models / Najlacnejšie knihy
Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

Code: 17362082

Computing Arbitrage-Free Yields in Multi-Factor Gaussian Shadow-Rate Term Structure Models

by Federal Reserve Board

This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a shadow-rate model as proposed by Black, 1995). The censori ... more

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This paper develops a method to approximate arbitrage-free bond yields within a term structure model in which the short rate follows a Gaussian process censored at zero (a shadow-rate model as proposed by Black, 1995). The censoring ensures that model-impl

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