A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives
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We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under both
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美国国家经济研究局创建时间：
2006-06-01
