Ivan Saroka

University of Oxford - Mathematical Institute

Andrew Wiles Building

Radcliffe Observatory Quarter (550)

Oxford, OX2 6GG

United Kingdom

Pacific Investment Management Company (PIMCO)

United States

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Scholarly Papers (1)

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How to Deform a Yield Curve: The Most Likely Deformation of a Yield Curve Consistent with Subjective Views

Posted: 30 May 2014
Ivan Saroka and Riccardo Rebonato
University of Oxford - Mathematical Institute and University of Oxford - Mathematical Institute

Abstract:

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principal components, yield curve modelling, risk management