A general stochastic volatility model for the pricing and forecasting of interest rate derivatives
By: Anders B. Trolle, Eduardo S. Schwartz.
Contributors: Schwartz, Eduardo S.; National Bureau of Economic Research.
Series: NBER working paper series -- no. 12337.; Working paper series (National Bureau of Economic Research) -- working paper no. 12337.
Publisher: National Bureau of Economic Research
Published: 2006
Place of publication: Cambridge, Mass
Language: eng
Number of pages: 62
Subjects: Interest rates -- Econometric models
Notes: "June 2006."

Includes bibliographical references (p. 59-62).

Also available in PDF from the NBER world wide web site (www.nber.org).