The potential approach in practice
Computational Finance
2012-04-26 v1
Abstract
The potential approach is a general and simple method for modelling interest rates, foreign exchange rates, and in principle other types of financial assets. This paper takes data on some liquid interest rate derivatives, and fits potential models using a small finite-state Markov chain as the base Markov process.
Cite
@article{arxiv.1204.5718,
title = {The potential approach in practice},
author = {Tino Kluge and L. C. G. Rogers},
journal= {arXiv preprint arXiv:1204.5718},
year = {2012}
}