Moraleda, J.M.

model volatility interest interest rates option price structure function term structure process humped curve sample parameter pricing maturity value market table morton moraleda volatility function paper error future sankarasubramanian probability heath vorst ritchken volatility structure jarrow time t estimation discount dynamic section erasmus university rotterdam journal bond prices speci variable spot rate volatility humped volatility structures factor choice procedure curve dynamics security framework volatility model class analysis discount bonds interest rate option prices movement state state variables factor scores coecient example cation estimate dierent result humped shapes component analysis volatility functions change component curve data model parameters study market price trading volatilitie process x humped volatility model observation