Affine term structure models driven by independent Lévy processes

By Michał Barski, Rafał Lochowski

Published 2024-02-13

Everscope rating

1526.7

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Stochastic differential equations. Problem types: Time Series Modeling, Interest Rate Modeling.

arXiv:2402.07503 · Paper rankings

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