The potential approach in practice

Details The potential approach in practice The potential approach in practice

2012-04-25

arxiv.org/abs/1204.5718v1

Economy

Quantitative Finance

Computational Finance

Scientific paper

The potential approach is a general and simple method for modelling interest
rates, foreign exchange rates, and in principle other types of financial
assets. This paper takes data on some liquid interest rate derivatives, and
fits potential models using a small finite-state Markov chain as the base
Markov process.

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