Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
An introduction to interest rate jumps at deterministic times
The observation of jumps in empirical interest-rate data has prompted the inclusion of these jumps in recent term-structure models. This dissertation focusses on explaining the effects of jumps that occur at known times on the pricing of bonds. Filipovic (2009) affirms that the transition from the p...
Saved in:
| Main Author: | |
|---|---|
| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
Department of Finance and Tax
2023
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
Be the first to leave a comment!