Calibration of interest rate term structure and derivative pricing models
We argue interest rate derivative pricing models are misspecified so that when they are fitted to historical data they do not produce prices consistently with the market. Interest rate models have to be calibrated to prices to ensure consistency. There are few published works on calibration to deriv...
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University of Warwick
1997
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.390021 |