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Study results from A.B. Trolle and colleagues broaden understanding of financial studies.

Publication: Investment Weekly News
Publication Date: 23-MAY-09
Format: Online
Delivery: Immediate Online Access

Article Excerpt
"We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates," researchers in Frederiksberg, Denmark report.

"It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analytical prices of zero-coupon bond options, and dynamics of the forward rate...

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