Consistent fitting of one-factor models to interest rate data

Rogers LCG, Stummer W (2000)

Publication Status: Published

Publication Type: Journal article, Original article

Publication year: 2000

Journal

Insurance Mathematics & Economics Elsevier

Publisher: Elsevier

Book Volume: 27

Pages Range: 45-63

Journal Issue: 1

DOI: 10.1016/S0167-6687(00)00039-1

Authors with CRIS profile

Wolfgang Stummer Professur für Mathematik

Involved external institutions

University of Bath GB United Kingdom (GB)

How to cite

APA:

Rogers, L.C.G., & Stummer, W. (2000). Consistent fitting of one-factor models to interest rate data. Insurance Mathematics & Economics, 27(1), 45-63. https://dx.doi.org/10.1016/S0167-6687(00)00039-1

MLA:

Rogers, Leonard Christopher G., and Wolfgang Stummer. "Consistent fitting of one-factor models to interest rate data." Insurance Mathematics & Economics 27.1 (2000): 45-63.

BibTeX: Download