Abstract
This chapter is the final chapter in the first part of this book.9 We have derived the general theory of valuing derivative securities, and we have shown how this theory can be used for valuing interest rate derivatives. We analysed in Chapters 5 and 6 a linear and a squared normal model which both have a rich analytical structure. However, only little attention has been devoted to the empirical validity of these models. In this chapter we address this problem.
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© 2000 Springer-Verlag London
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Pelsser, A. (2000). An Empirical Comparison of One-Factor Models. In: Efficient Methods for Valuing Interest Rate Derivatives. Springer Finance. Springer, London. https://doi.org/10.1007/978-1-4471-3888-4_7
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DOI: https://doi.org/10.1007/978-1-4471-3888-4_7
Publisher Name: Springer, London
Print ISBN: 978-1-84996-861-4
Online ISBN: 978-1-4471-3888-4
eBook Packages: Springer Book Archive