8. Charles R. Nelson and Andrew F. Siegel, “Parsimonious Modeling of Yield-Curves,” Journal of Business (October 1987), pp. 473–489.

9. Lars Svensson, “Estimating and Interpreting Forward Interest Rates: Sweden 1992–94,” CEPR discussion paper 1051, October 1994.

10. Oldrich A. Vasicek, “An Equilibrium Characterisation of the Term Structure,” Journal of Financial Economics (November 1977), pp. 177–188.

11. John C. Cox, Jonathan E. Ingersoll, and Stephen A. Ross, “A Theory of the Term Structure of Interest Rates,” Econometrica (March 1985), pp. 385–407.

12. For details about these models, see Martellini and Priaulet, Fixed Income Securities: Dynamic Methods for Interest Rate Risk Pricing and Hedging.

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