2019•European Actuarial JournalRequires access

Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products

Franziska Diez, Ralf Korn

Open publisher page 11 citations

Abstract

This record does not include an abstract. Use the full-text link above if available.

About this research paper

What this paper is about

An abstract is not available in the OpenAlex record for this paper.

Why it matters

OpenAlex reports 11 citations for this work. Citation counts describe recorded attention and do not establish research quality.

Key contribution

A contribution statement is not available in the OpenAlex record.

Method / approach

Method details are not available in the OpenAlex metadata.

Main findings

Findings are not separately available in the OpenAlex metadata.

Limitations

Limitations are not available in the OpenAlex metadata.

Applications

Application details are not available in the OpenAlex metadata.

Key concepts: Vasicek model, Yield curve, Measure (data warehouse), Econometrics, Interest rate, Yield (engineering), Monte Carlo method, Mathematics

Back to paper search Browse research topics Original source

Yield curve shapes of Vasicek interest rate models, measure transformations and an application for the simulation of pension products — Research Paper | ScholarLens