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Paper / 1997SMQ / 154241670101740
Phenomenology of the interest rate curve
J. -P. Bouchaud / M. Potters / N. El-Karoui / N. Sagna / R. Cont
interest ratesResource overview

Phenomenology of the interest rate curve

Paper1997

by J. -P. Bouchaud, M. Potters, N. El-Karoui, N. Sagna, R. Cont

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interest rates

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  1. The Bank Account, Short Rate, and the Fundamental Pricing Equation

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  2. DV01, Dollar Duration, and One-Factor Price Sensitivity

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  2. The Vasicek Model: Mean Reversion, Affine Bond Prices, and the Gaussian Distribution

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