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Reply to the Comments on “Measuring the Interest Rate Risk”
Reply to the Comments Measuring the Interest Rate Risk
2015/7/21
Reply to the Comments on “Measuring the Interest Rate Risk”.
Interest-Rate Modeling with Multiple Yield Curves
Yield Curve Bootstrap Yield Curve Interpolation Discounting Curve
2010/10/20
The crisis that affected financial markets in the last years leaded market practitioners to revise well known basic concepts like the ones of discount factors and forward rates. A single yield curve ...
A Heat Kernel Approach to Interest Rate Models
Interest rate models Markov-functional state price density heat
2010/11/2
We construct default-free interest rate models in the spirit of the well-known Markov funcional models: our focus is analytic tractability of the models and generality of the approach. We work in the ...
Quantitative law describing market dynamics before and after interest-rate change
Quantitative law interest-rate change
2010/10/29
We study the behavior of U.S. markets both before and after U.S. Federal OpenMarket Committee
(FOMC) meetings, and show that the announcement of a U.S. Federal Reserve rate change causes
a financial...