Pages that link to "Item:Q5363838"
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The following pages link to An equilibrium characterization of the term structure (Q5363838):
Displayed 50 items.
- Term structure of interest rates: The martingale approach (Q583070) (← links)
- Numerical treatment of an asset price model with non-stochastic uncertainty. (With comments and rejoinder). (Q699507) (← links)
- An approximation of caplet implied volatilities in Gaussian models (Q816447) (← links)
- A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
- Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
- Valuation and hedging of life insurance liabilities with systematic mortality risk (Q849589) (← links)
- Estimating the term structure of interest rates using penalized splines (Q849872) (← links)
- Correlation matrices of yields and total positivity (Q855558) (← links)
- Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts (Q860503) (← links)
- Polynomial algorithms for pricing path-dependent interest rate instruments (Q862839) (← links)
- An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates (Q882461) (← links)
- Multi-period asset allocation by stochastic dynamic programming (Q924425) (← links)
- Invariance properties of a general bond-pricing equation (Q925045) (← links)
- The consumption-based determinants of the term structure of discount rates (Q926389) (← links)
- A note on the central limit theorem for bipower variation of general functions (Q927926) (← links)
- Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q928499) (← links)
- Estimation of stochastic volatility with LRD (Q929714) (← links)
- Static super-replicating strategies for a class of exotic options (Q931201) (← links)
- Stochastic optimal control of DC pension funds (Q931216) (← links)
- Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (Q938030) (← links)
- Pension fund investments and the valuation of liabilities under conditional indexation (Q939321) (← links)
- The role of longevity bonds in optimal portfolios (Q939371) (← links)
- Analysis of exercise boundary of American interest rate option (Q940588) (← links)
- A model of discontinuous interest rate behavior, yield curves, and volatility (Q941729) (← links)
- A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations (Q947594) (← links)
- Understanding saving and portfolio choices with predictable changes in assets returns (Q949649) (← links)
- Two-factor convertible bonds valuation using the method of characteristics/finite elements (Q951392) (← links)
- Solutions of two-factor models with variable interest rates (Q952075) (← links)
- Optimal investment decisions when time-horizon is uncertain (Q952683) (← links)
- Importance sampling for integrated market and credit portfolio models (Q953448) (← links)
- Interest rate option pricing and volatility forecasting: an application to Brazil (Q953623) (← links)
- Exchange rates and interest rates: can term structure models explain currency movements? (Q953668) (← links)
- Optimal design of the guarantee for defined contribution funds (Q953713) (← links)
- Wicksellian theory of forest rotation under interest rate variability (Q953760) (← links)
- Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans (Q956531) (← links)
- Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
- Moments of the first passage time of one-dimensional diffusion with two-sided barriers (Q958974) (← links)
- Valuation of cash flows under random rates of interest: a linear algebraic approach (Q997086) (← links)
- A model of the term structure of interest rates for an economically dependent country (Q1000358) (← links)
- An implementation of the HJM model with application to Japanese interest futures (Q1000404) (← links)
- A preference free partial differential equation for the term structure of interest rates (Q1000411) (← links)
- A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany (Q1000416) (← links)
- Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations (Q1002573) (← links)
- A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (Q1003544) (← links)
- Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818) (← links)
- A note on immunization under a general stochastic equilibrium model of the term structure (Q1072320) (← links)
- A Bayesian approach to the empirical valuation of bond options (Q1126472) (← links)
- Nonlinear interest rate dynamics and implications for the terms structure (Q1126499) (← links)
- Implied volatility from the term structure: a simple analytical approximation (Q1127430) (← links)
- Bond options and bond portfolio insurance (Q1182784) (← links)