Date of Award
1-1-2014
Language
English
Document Type
Dissertation
Degree Name
Doctor of Philosophy (PhD)
College/School/Department
Department of Economics
Content Description
1 online resource (vi, 156 pages) : illustrations (some color)
Dissertation/Thesis Chair
Bruce C. Dieffenbach
Committee Members
John B. Jones, Terrence W. Kinal
Keywords
Affine Model, Bond Yield, HJM Model, Interest Rate, Nelson-Siegel, Financial risk management, Interest rates, Derivative securities, Stochastic processes
Subject Categories
Economics | Finance and Financial Management
Abstract
The differences between the daily routine of fitting the yield curve (or equivalently, the forward rate curve) and the dynamic
Recommended Citation
Wang, Qingbin, "Geometric information of yield curve, unspanned stochastic volatility, and affine Heath-Jarrow-Morton models" (2014). Legacy Theses & Dissertations (2009 - 2024). 1303.
https://scholarsarchive.library.albany.edu/legacy-etd/1303