Tino Kluge, L. C. G. Rogers
posted by Matúš Medo
(26 April 2012)
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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.
The Econophysics Forum
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