Two-Factor Vasicek with Kalman Filter
碩士 === 國立臺灣大學 === 財務金融學研究所 === 107 === This paper examines the application of mathematical models such as affine models in determining mispricing in yield curve, developing trading strategies and examining its profitability. Reliable yield curve models can be very useful in predicting and controllin...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2019
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/cah438 |