Term structure of volatilities and yield curve estimation methodology

Author： Diaz Antonio   Jareno Francisco   Navarro Eliseo  

Publisher： Routledge Ltd

ISSN： 1469-7688

Source： Quantitative Finance, Vol.11, Iss.4, 2011-04, pp. : 573-586

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

The term structure of S&P 100 model-free volatilities

By Lim Kian-Guan   Ting Christopher  

Quantitative Finance, Vol. 13, Iss. 7, 2013-07 ,pp. : 1041-1058

Routledge Ltd

Access to resources Recommend Favorite

Design and Estimation of Quadratic Term Structure Models

By Leippold M.  

European Finance Review, Vol. 7, Iss. 1, 2003-01 ,pp. : 47-73

Springer Publishing Company

Access to resources Recommend Favorite

Bayesian approach to yield curve modelling with application to the simulation of EMU environments: generating scenarios by modelling yield curve movements

By Howe Melendres  

The European Journal of Finance, Vol. 6, Iss. 2, 2000-06 ,pp. : 176-195

Routledge Ltd

Access to resources Recommend Favorite

The estimation of nominal and real yield curves from government bonds in Israel

By Wiener Zvi   Pompushko Helena  

The Journal of Risk Finance Incorporating Balance Sheet, Vol. 7, Iss. 5, 2006-10 ,pp. : 488-502

Emerald Group Publishing Ltd

Access to resources Recommend Favorite

A comparison of diffusion models of the term structure

By Strickland Chris  

The European Journal of Finance, Vol. 2, Iss. 1, 1996-03 ,pp. : 103-123

Routledge Ltd

Access to resources Recommend Favorite