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Tractable Term Structure Models

Bruno Feunou, Jean‐Sébastien Fontaine, Anh Le, CHRISTIAN T. LUNDBLAD
Year2022
VenueManagement Science
Typearticle
Citations12
DOI10.1287/mnsc.2021.4214
OpenAlexW4210260512

Topics

Stochastic processes and financial applicationsEconometricsComputer scienceVolatility (finance)Sharpe ratioAffine term structure model