Similar Items: Heath–Jarrow–Morton models with jumps
- Building Interest Rate Curves and SABR Model Calibration
- Interest rate model theory with reference to the South African market
- A no-arbitrage macro finance approach to the term structure of interest rates
- An application of an entropy principle to short term interest rate modelling
- Monetary policy and exchange rates in different economic contexts: Case study of South Africa
- Roll-over risk in the South African interest rate market
Author: Ouwehand, P. W.
Author: Alfeus, Mesias
- Roll-over risk in the South African interest rate market
- Modern portfolio optimisation under regime switching
- Parsimonious Mixed Bergomi Models for VIX Derivatives: Calibration and Estimation via Quantization
- Heath–Jarrow–Morton models with jumps
- Enhancing realised volatility prediction in emerging markets