Consistent fitting of one-factor models to interest rate data. (Q1584583): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+A note on immunization under a general stochastic equilibrium model of the term structure
+Normal rank
@@ Property / cites work @@
+Interest Rate Risk Management
@@ Property / cites work: Interest Rate Risk Management / rank @@
+Normal rank
@@ Property / cites work @@
+Q4716197
@@ Property / cites work: Q4716197 / rank @@
+Normal rank
@@ Property / cites work @@
+Stochastic models for bond prices, function space integrals and immunization theory
+Normal rank
@@ Property / cites work @@
+Risk-neutral valuation: Pricing and hedging of financial derivatives
+Normal rank
@@ Property / cites work @@
+Q4834783
@@ Property / cites work: Q4834783 / rank @@
+Normal rank
@@ Property / cites work @@
+Asset allocation with time variation in expected returns
+Normal rank
@@ Property / cites work @@
+Q4834781
@@ Property / cites work: Q4834781 / rank @@
+Normal rank
@@ Property / cites work @@
+Long-Term Yield Rates for Actuarial Valuations
@@ Property / cites work: Long-Term Yield Rates for Actuarial Valuations / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate dynamics, derivatives pricing, and risk management
+Normal rank
@@ Property / cites work @@
+Representative Interest Rate Scenarios
@@ Property / cites work: Representative Interest Rate Scenarios / rank @@
+Normal rank
@@ Property / cites work @@
+On the estimation of smooth forward rate curves from a finite number of observations: A comment
+Normal rank
@@ Property / cites work @@
+A Theory of the Term Structure of Interest Rates
@@ Property / cites work: A Theory of the Term Structure of Interest Rates / rank @@
+Normal rank
@@ Property / cites work @@
+Long-term returns in stochastic interest rate models
+Normal rank
@@ Property / cites work @@
+Long-term returns in stochastic interest rate models: convergence in law
+Normal rank
@@ Property / cites work @@
+Convergence of discretized stochastic (interest rate) processes with stochastic drift term
+Normal rank
@@ Property / cites work @@
+Consols In the Cir Model
@@ Property / cites work: Consols In the Cir Model / rank @@
+Normal rank
@@ Property / cites work @@
+The Laplace transform of annuities certain with exponential time distribution
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Q4218399
@@ Property / cites work: Q4218399 / rank @@
+Normal rank
@@ Property / cites work @@
+Market Value Of Insurance Liabilities
@@ Property / cites work: Market Value Of Insurance Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
+Normal rank
@@ Property / cites work @@
+Supermodular ordering and stochastic annuities
@@ Property / cites work: Supermodular ordering and stochastic annuities / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
+Normal rank
@@ Property / cites work @@
+A simple class of square-root interest-rate models
+Normal rank
@@ Property / cites work @@
+Bond, futures and option evaluation in the quadratic interest rate model
+Normal rank
@@ Property / cites work @@
+Q4794267
@@ Property / cites work: Q4794267 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4349551
@@ Property / cites work: Q4349551 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5754578
@@ Property / cites work: Q5754578 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4139359
@@ Property / cites work: Q4139359 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5832412
@@ Property / cites work: Q5832412 / rank @@
+Normal rank
@@ Property / cites work @@
+Continuous Markov processes and stochastic equations
+Normal rank
@@ Property / cites work @@
+Q4834782
@@ Property / cites work: Q4834782 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4350437
@@ Property / cites work: Q4350437 / rank @@
+Normal rank
@@ Property / cites work @@
+Evaluation of the GIC rollover option
@@ Property / cites work: Evaluation of the GIC rollover option / rank @@
+Normal rank
@@ Property / cites work @@
+Q2756619
@@ Property / cites work: Q2756619 / rank @@
+Normal rank
@@ Property / cites work @@
+Two Paradigms for The Market Value of Liabilities
@@ Property / cites work: Two Paradigms for The Market Value of Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Q3997782
@@ Property / cites work: Q3997782 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4868517
@@ Property / cites work: Q4868517 / rank @@
+Normal rank
@@ Property / cites work @@
+The Potential Approach to the Term Structure of Interest Rates and Foreign Exchange Rates
+Normal rank
@@ Property / cites work @@
+Q3763296
@@ Property / cites work: Q3763296 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002873
@@ Property / cites work: Q4002873 / rank @@
+Normal rank
@@ Property / cites work @@
+The Novikov and entropy conditions of multidimensional diffusion processes with singular drift
+Normal rank
@@ Property / cites work @@
+On Novikov and arbitrage properties of multidimensional diffusion processes with exploding drift
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+A survey of stochastic continuous time models of the term structure of interest rates
+Normal rank
@@ Property / cites work @@
+Term Structure Models: A Perspective from the Long Rate
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/s0167-6687(00)00039-1
+Normal rank
@@ Property / OpenAlex ID @@
+W2124955513
@@ Property / OpenAlex ID: W2124955513 / rank @@
+Normal rank
@@ Property / Wikidata QID @@
+Q126633877
@@ Property / Wikidata QID: Q126633877 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1584583