Affine term-structure models : theory and implementation / by David Jamieson Bolder.  : FB3-2/101-15E-PDF

This summary is accomplished in a self-contained manner with sufficient detail so that relatively few technical points will be left for the reader to ponder. As such, this paper represents a first step towards advancing the Bank of Canada's research agenda in this area, with a view to using these models to assist with practical debt and risk-management problems currently under study.--Abstract

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publications.gc.ca/pub?id=9.578633&sl=1

Renseignements sur la publication
Ministère/Organisme Bank of Canada.
Titre Affine term-structure models : theory and implementation / by David Jamieson Bolder.
Titre de la série Bank of Canada working paper1701-93972001-15
Type de publication Série - Voir l'enregistrement principal
Langue [Anglais]
Format Électronique
Document électronique
Autres formats offerts Papier-[Anglais]
Note(s) "This summary is accomplished in a self-contained manner with sufficient detail so that relatively few technical points will be left for the reader to ponder. As such, this paper represents a first step towards advancing the Bank of Canada's research agenda in this area, with a view to using these models to assist with practical debt and risk-management problems currently under study."--Abstract.
Bibliography.
Résumés en français
Information sur la publication Ottawa - Ontario : Bank of Canada October 2001.
Description 68p.figs., graphs, tables
ISSN 1701-9397
Numéro de catalogue
  • FB3-2/101-15E-PDF
Descripteurs Interest rates
Models
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