Adriano Faria

Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças

Praia de Botafogo 190/1125, CEP

Rio de Janeiro RJ 22253-900

Brazil

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Scholarly Papers (1)

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A Hybrid Spline-Based Parametric Model for the Yield Curve

Number of pages: 48 Posted: 14 Jan 2017 Last Revised: 19 Jul 2017
Adriano Faria and Caio Almeida
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Getulio Vargas Foundation
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Abstract:

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Price index, Spline Models, Exponential Term Structure Models, Curve Fitting, Risk management