Mario V. Wüthrich

RiskLab Finland

Turku, 20520

Finland

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Consistent Recalibration of Yield Curve Models

Mathematical Finance, Vol. 28, Issue 3, pp. 757-799, 2018
Number of pages: 43 Posted: 14 Jun 2018
University of Freiburg - Institut für Mathematische Stochastik, affiliation not provided to SSRN, ETH Zurich and RiskLab Finland
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Abstract:

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term structure, interest rate, consistent re‐calibration, yield curve, Hull‐White extension