On yield curves of the European Central Bank
In this paper it is showed that the yield curve of the European Central Bank (ECB) does not satisfy the no arbitrage conditions. For this it is need to add one more term to yield curve. As the state variables, it is necessary to choose a fourdimensional diffusion Gaussian process. Fifth factor is de...
| Published in: | Вестник Томского государственного университета. Управление, вычислительная техника и информатика № 41. С. 39-46 |
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| Main Author: | |
| Format: | Article |
| Language: | English |
| Subjects: | |
| Online Access: | http://vital.lib.tsu.ru/vital/access/manager/Repository/vtls:000619024 Перейти в каталог НБ ТГУ |