Interest rates risk-premium and shape of the yield curve (Q316908): Difference between revisions

@@ Property / author @@
-Q316907
@@ Property / author: Q316907 / rank @@
-Normal rank
@@ Property / Mathematics Subject Classification ID @@
+H30
@@ Property / Mathematics Subject Classification ID: 60H30 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+H10
@@ Property / Mathematics Subject Classification ID: 60H10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 60G40 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G80
@@ Property / Mathematics Subject Classification ID: 91G80 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6631396
@@ Property / zbMATH DE Number: 6631396 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic interest rate model
@@ Property / zbMATH Keywords: stochastic interest rate model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+risk premium
@@ Property / zbMATH Keywords: risk premium / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+yield curve
@@ Property / zbMATH Keywords: yield curve / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal pricing
@@ Property / zbMATH Keywords: optimal pricing / rank @@
+Normal rank
@@ Property / author @@
+Srdjan D. Stojanovic
@@ Property / author: Srdjan D. Stojanovic / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.3934/dcdsb.2016013
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+W2340583622
@@ Property / OpenAlex ID: W2340583622 / rank @@
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@@ Property / cites work @@
+Utility–indifference hedging and valuation via reaction–diffusion systems
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@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate models -- theory and practice
@@ Property / cites work: Interest rate models -- theory and practice / rank @@
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@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
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@@ Property / cites work @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
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@@ Property / cites work @@
+Pricing Interest-Rate-Derivative Securities
@@ Property / cites work: Pricing Interest-Rate-Derivative Securities / rank @@
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@@ Property / cites work @@
+Q5709400
@@ Property / cites work: Q5709400 / rank @@
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@@ Property / cites work @@
+Q2782359
@@ Property / cites work: Q2782359 / rank @@
+Normal rank
@@ Property / cites work @@
+Interest rate risk premium and equity valuation
@@ Property / cites work: Interest rate risk premium and equity valuation / rank @@
+Normal rank
@@ Property / cites work @@
+A modified structural model for credit risk
@@ Property / cites work: A modified structural model for credit risk / rank @@
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
+Normal rank
@@ Property / cites work @@
+An example of indifference prices under exponential preferences
+Normal rank
@@ Property / cites work @@
+Pricing Via Utility Maximization and Entropy
@@ Property / cites work: Pricing Via Utility Maximization and Entropy / rank @@
+Normal rank
@@ Property / cites work @@
+Q4787285
@@ Property / cites work: Q4787285 / rank @@
+Normal rank
@@ Property / cites work @@
+Risk premium and fair option prices under stochastic volatility: the HARA solution.
+Normal rank
@@ Property / cites work @@
+Pricing and hedging of multi type contracts under multidimensional risks in incomplete markets modeled by general Itō SDE systems
+Normal rank
@@ Property / cites work @@
+Any-utility neutral and indifference pricing and hedging
+Normal rank
@@ Property / cites work @@
+Neutral and Indifference Portfolio Pricing, Hedging and Investing
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:316908