OpenAlex
Consistent recalibration of yield curve models
Work
Year: 2017
Type: article
Abstract: The analytical tractability of affine (short rate) models, such as the Vasiček and the Cox–Ingersoll–Ross (CIR) models, has made them a popular choice for modeling the dynamics of interest rates. How... more
Cites: 29
Cited by: 15
Related to: 10
FWCI: 3.383
Citation percentile (by year/subfield): 86.4
Subfield: Finance
Open Access status: green
Grant ID 149879