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.
- Application of statistical mechanics methodology to term-structure bond- pricing models (Q1197724) (← links)
- Stochastic models for bond prices, function space integrals and immunization theory (Q1262066) (← links)
- Some system theoretic aspects of interest rate theory (Q1265913) (← links)
- A comparative evaluation of alternative models of the term structure of interest rates (Q1268217) (← links)
- A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model (Q1274470) (← links)
- Currency option pricing with mean reversion and uncovered interest parity: a revision of the Garman-Kohlhagen model (Q1278069) (← links)
- Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results (Q1278206) (← links)
- Estimating the parameters of stochastic differential equations (Q1299880) (← links)
- Evaluation of the GIC rollover option (Q1333588) (← links)
- A survey of stochastic continuous time models of the term structure of interest rates (Q1333590) (← links)
- The persistence in volatility of the US term premium 1970--1986 (Q1352231) (← links)
- Estimating continuous-time stochastic volatility models of the short-term interest rate (Q1362071) (← links)
- A variational approach for pricing options and corporate bounds (Q1367716) (← links)
- Unemployment insurance and mortgages (Q1381476) (← links)
- How sensitive is short-term Japanese interest rate volatility to the level of the interest rate? (Q1389482) (← links)
- A simple long-memory equilibrium interest rate model (Q1391624) (← links)
- Purebred or hybrid?: Reproducing the volatility in term structure dynamics. (Q1398977) (← links)
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models (Q1410572) (← links)
- Degenerate evolution equations in weighted continuous function spaces, Markov processes and the Black--Scholes equation. I. (Q1412399) (← links)
- Transition probability functions for martingale laws of bond prices. (Q1413276) (← links)
- Allocating unfunded liability in pension valuation under uncertainty. (Q1413324) (← links)
- Valuation of guaranteed annuity conversion options. (Q1413340) (← links)
- Optimal investment strategies in the presence of a minimum guarantee. (Q1413348) (← links)
- Moment generating function approach to pricing interest rate and foreign exchange rate claims. (Q1413350) (← links)
- Optimal portfolio and background risk: an exact and an approximated solution. (Q1413356) (← links)
- The dynamics of implied volatilities: a common principal components approach (Q1417894) (← links)
- Price discovery, causality and forecasting in the freight futures market (Q1417897) (← links)
- A stability result for the HARA class with stochastic interest rates. (Q1423345) (← links)
- Pricing of multi-period rate of return guarantees. (Q1423346) (← links)
- A PDE based implementation of the Hull\,\&\,White model for cash flow derivatives (Q1424651) (← links)
- Affine processes and applications in finance (Q1425484) (← links)
- Optimal pension management in a stochastic framework. (Q1430674) (← links)
- Financial options and statistical prediction intervals (Q1431433) (← links)
- An analytically tractable interest rate model with humped volatility (Q1579480) (← links)
- Approximating payoffs and pricing formulas (Q1583152) (← links)
- Consistent fitting of one-factor models to interest rate data. (Q1584583) (← links)
- New solutions to the bond-pricing equation via Lie's classical method (Q1585830) (← links)
- The Riccati equation in mathematical finance. (Q1599553) (← links)
- Short rate nonlinearities and regime switches. (Q1605421) (← links)
- Stochastic string models with continuous semimartingales (Q1618536) (← links)
- Stable continuous-time autoregressive process driven by stable subordinator (Q1619074) (← links)
- Quantifying risks with exact analytical solutions of derivative pricing distribution (Q1620497) (← links)
- The volatility target effect in structured investment products with capital protection (Q1621618) (← links)
- On the effect of Bank of Japan's outright purchase on the JGB yield curve (Q1627831) (← links)
- Conditional Lie-Bäcklund symmetry reductions and exact solutions of a class of reaction-diffusion equations (Q1629195) (← links)
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes (Q1631415) (← links)
- Cointegration analysis with state space models (Q1633206) (← links)
- \(L^2\)-tracking of Gaussian distributions via model predictive control for the Fokker-Planck equation (Q1633784) (← links)
- Pricing catastrophe options with counterparty credit risk in a reduced form model (Q1637025) (← links)
- The moments of a diffusion process (Q1642244) (← links)