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Tuesday, August 18, 2020 | History

2 edition of simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate found in the catalog.

simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate

Fabio Fornari

simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate

by Fabio Fornari

  • 134 Want to read
  • 36 Currently reading

Published by Banca d"Italia in [Roma] .
Written in English

    Subjects:
  • Interest rates -- Forecasting.,
  • Stochastic approximation.

  • Edition Notes

    StatementFabio Fornari and Antonio Mele.
    SeriesTemi di discussione -- 395
    ContributionsMele, Antonio., Banca d"Italia. Servizio studi
    The Physical Object
    Pagination68 p. :
    Number of Pages68
    ID Numbers
    Open LibraryOL22421282M


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Simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate by Fabio Fornari Download PDF EPUB FB2