Jack L. Evans

eValue FE

Lambourn Square

Newbury Business Park

Newbury, RG14

United Kingdom

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Scholarly Papers (1)

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Developing a Practical Yield Curve Model: An Odyssey

Number of pages: 29 Posted: 07 Aug 2013
M. A. H. Dempster, Jack L. Evans and Elena Medova
University of Cambridge - Centre for Financial Research, eValue FE and University of Cambridge - Centre for Financial Research
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Abstract:

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Capital markets, 3-factor affine yield curve models, long term horizons, low rate regimes, nonlinear Black model