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- W50892024 abstract "To manage interest rate risk effectively, it would be desirable to have an idea of how the term structure changes over time. Techniques ranging from econometric modelling, time series analysis, including multivariate and non-linear systems, as well as neural networks and pattern recognition are used for forecasting purposes. However, for pricing derivative instruments the theory of diffusion processes and stochastic calculus are employed. The purpose of this paper is to present a technique that can be used for forecasting purposes and for valueing contingent daims." @default.
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- W50892024 date "1994-01-01" @default.
- W50892024 modified "2023-09-24" @default.
- W50892024 title "Modelling of Term Structure Dynamics Using Stochastic Processes" @default.
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- W50892024 doi "https://doi.org/10.1007/978-3-642-46948-0_7" @default.
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