Similar Items: Bias-Free Joint Simulation of Multi-Factor Short Rate Models and Discount Factor
- Multi-curve bootstrapping and implied discounting curves in illiquid markets
- An investigation of short rate models and the pricing of contigent claims in a South African setting
- Kalman Filtering and the Estimation of Multi-factor Affine Term Structure Models
- Modelling conditional covariances with orthogonal factor models
- Hedging performance of interest-rate models
- Interpolation of Forward Rates in the LIBOR Market Model