Comparison of the Ability to Forcast U.S. Treasury Yield of Four Term Structure Models
碩士 === 國立中正大學 === 企業管理研究所 === 91 === Compare the ability to forcast US treasury yield of four term structure models:Vasicek, CIR, DSR and Longstaff&Schwartz. Turn the close form solutions of bond prices in these term structures into interest rates. Use the method of nonlinear least sq...
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| Format: | Others |
| Language: | zh-TW |
| Published: |
2003
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| Online Access: | http://ndltd.ncl.edu.tw/handle/57224191771885728783 |