Nathalie Pistre

National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)

92245 Malakoff Cedex

France

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Scholarly Papers (1)

1.

A Methodology to Analyze Model Risk with an Application to Discount Bond Options in a Heath-Jarrow-Morton Framework

Risklab Research Report
Number of pages: 42 Posted: 10 Jul 2001
Kedge Capital Fund Management, Institut National de Recherche en Informatique et Automatique (INRIA), University of Geneva - Geneva Finance Research Institute (GFRI), French National Institute for Research in Computer Science and Control (INRIA) and National Institute of Statistics and Economic Studies (INSEE) - National School for Statistical and Economic Administration (ENSAE)
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Abstract:

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model risk, interest rate risk, Heath-Jarrow-Morton