Estimating Mean Reversions in Interest Rates
The article introduces a new method for calculating the rate at which interest rates return to their average in multifactor HJM models, important for pricing derivatives.
Featured in No. 57 on 17 Jul 2024 · on release day
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- 17 Jul 2024
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- No. 57 · 17 Jul 2024
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- SSRN 4897350
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