Sumários
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18 Outubro 2021, 17:30 • Rita Sousa
Dynamic term structure models
- Canonical representation
- Estimation of DTSMs
- A Gaussian affine term structure model
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11 Outubro 2021, 19:00 • Rita Sousa
Dynamic term structure models
- Affine term structure models
- Continuous-time affine DTSM
- Canonical representation
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11 Outubro 2021, 17:30 • Rita Sousa
Dynamic term structure models
- No arbitrage and risk-neutral pricing
- Key ingredients of DTSM
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4 Outubro 2021, 19:00 • Rita Sousa
Overview
Continuous-time affine processes
Discrete-time affine processes
Transforms for affine processes
Estimation of affine processes