Ivan Saroka

University of Oxford - Mathematical Institute

Andrew Wiles Building

Woodstock Road

Oxford, OX2 6GG

United Kingdom

SCHOLARLY PAPERS

2

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Scholarly Papers (2)

1.

A Principal-Component-Based Affine Term Structure Model

Number of pages: 42 Posted: 18 Jun 2014
University of Oxford - Mathematical Institute, University of Oxford - Mathematical Institute and Pacific Investment Management Company (PIMCO)
Downloads 397 (72,085)

Abstract:

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term structure modelling, yield curve modelling, affine models, principal components

2.

Affine Principal-Component-Based Term Structure Model

Number of pages: 50 Posted: 21 May 2014
Ivan Saroka
University of Oxford - Mathematical Institute
Downloads 103 (255,528)

Abstract:

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