TY  - CHAP 
AU  - Gómez del Valle, María Lourdes
AU  - Martínez Rodríguez, Julia
PY  - 2018
SN  - 978-3-319-89824-7
UR  - http://uvadoc.uva.es/handle/10324/32344
AB  - In this paper, we consider a jump-diffusion two-factor model which stochastic volatility to obtain the yield curves efficiently. As this is a jump-diffusion model, the estimation of the market prices of risk is not possible unless a closed form...
LA  - eng
PB  - Springer
KW  - Volatilidad estocástica
KW  - Stochastic volatility
TI  - Real-World Versus Risk-Neutral Measures in the Estimation of an Interest Rate Model with Stochastic Volatility
ER  -