Term Structure Models with Parallel and Proportional Shifts

Frederik Armerin, Bjarne Astrup Jensen, Tomas Björk

Research output: Contribution to journalJournal articleResearchpeer-review

Original languageEnglish
JournalApplied Mathematical Finance
Volume14
Issue number3
Pages (from-to)243-260
Number of pages18
ISSN1350-486X
DOIs
Publication statusPublished - 2007

Cite this

Armerin, Frederik ; Astrup Jensen, Bjarne ; Björk, Tomas. / Term Structure Models with Parallel and Proportional Shifts. In: Applied Mathematical Finance. 2007 ; Vol. 14, No. 3. pp. 243-260.
@article{9bef0210566511dc9dad000ea68e967b,
title = "Term Structure Models with Parallel and Proportional Shifts",
keywords = "udenforomr{\aa}de, Term structure of interest rates, Renter, Renteteori",
author = "Frederik Armerin and {Astrup Jensen}, Bjarne and Tomas Bj{\"o}rk",
year = "2007",
doi = "10.1080/13504860600858030",
language = "English",
volume = "14",
pages = "243--260",
journal = "Applied Mathematical Finance",
issn = "1350-486X",
publisher = "Routledge",
number = "3",

}

Term Structure Models with Parallel and Proportional Shifts. / Armerin, Frederik; Astrup Jensen, Bjarne; Björk, Tomas.

In: Applied Mathematical Finance, Vol. 14, No. 3, 2007, p. 243-260.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

T1 - Term Structure Models with Parallel and Proportional Shifts

AU - Armerin, Frederik

AU - Astrup Jensen, Bjarne

AU - Björk, Tomas

PY - 2007

Y1 - 2007

KW - udenforområde

KW - Term structure of interest rates

KW - Renter

KW - Renteteori

U2 - 10.1080/13504860600858030

DO - 10.1080/13504860600858030

M3 - Journal article

VL - 14

SP - 243

EP - 260

JO - Applied Mathematical Finance

JF - Applied Mathematical Finance

SN - 1350-486X

IS - 3

ER -