Risk magazine - Volume16/No12

Shadow interest

Using a Vasicek process for the shadow rate, Viatcheslav Gorovoi and Vadim Linetsky develop an analytical solution for pricing zero-coupon bonds using eigenfunction expansions, and show how to calibrate their model to the Japanese bond market. This…

Gordy rises on Basel credit wave

Who are the most influential authors of articles on quantitative finance? Every year, we total up the citations of sources given at the end of papers published in the Cutting Edge section of Risk.

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