Affine and generalized affine models : Theory and applications

Affine and generalized affine models : Theory and applications

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Bibliographic Details
Main Author:	Feunou Kamkui, Bruno
Other Authors:	Meddahi, Nour
Language:	en
Published:	2012
Subjects:	Modèles affines Affine models Fonction cumulant Cumulant function Structure à terme des taux d'intérêt Term structure of interest rates VARMA Varma Prix du risque Price of risk GARCH Principe d'évaluation risque-neutre Risk-neutral valuation Absence d'arbitrage No-arbitrage Innovations non-normales Non-normal innovations Volatilité stochastique Stochastic volatility Asymétrie stochastique Stochastic skewness Effet de levier Lever-age effect Méthode des moments généralisée GMM
Online Access:	http://hdl.handle.net/1866/3023

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