Danish central bank publishes essays on risk in interest rates and inflation modelling
The National Bank of Denmark has published a series of essays exploring risk models related to the interest rate and inflation securities markets.
The four essays, collated by Allan Anderson and Sall Tang, explore the subject from differing perspectives. Two of the essays take a principally theoretical approach and the other two tackle the topic broadly from an empirical standpoint.
The first essay discusses arbitrage-free term-structure models, the second essay considers the inflation
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