Browsing Masteruppsatser by Author "Chronholm, Veronika"
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Numerical Analysis of Yield Curves Implied by Two-Factor Interest Rate Models
Chronholm, Veronika (2021-06-15)Abstract We investigate the yield curves implied by coupon bonds in models where the market short rate is given by a two-factor stochastic model. Specifically, we investigate generalisations of the two-factor Vasicek, ...