Title:

The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks

Authors:

Pedro Santa Clara (UCLA)
Didier Sornette (CNRS, U Nice, ULCA)

Journal:

Review of Financial Studies

Year:

2001

Volume:

14

Pages:

149-185

JEL codes:

E43 - Determination of Interest Rates; Term Structure of Interest Rates
G13 - Contingent Pricing; Futures Pricing