Vladyslav Putyatin

Pacific Investment Management Company (PIMCO)

United States

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A Principal-Component-Based Affine Term Structure Model

Number of pages: 42 Posted: 18 Jun 2014
Riccardo Rebonato, Ivan Saroka and Vladyslav Putyatin
University of Oxford - Mathematical Institute, University of Oxford - Mathematical Institute and Pacific Investment Management Company (PIMCO)
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Abstract:

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