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.
- 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)
- Numerical techniques for pricing callable bonds with notice (Q1764750) (← links)
- Tractable forms of the bond pricing equation (Q1764962) (← links)
- Efficient calibration of trinomial trees for one-factor short rate models (Q1774551) (← links)
- The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests (Q1774554) (← links)
- Pricing of multiple defaultable bond (Q1847632) (← links)
- Time horizon and the discount rate. (Q1867560) (← links)
- Asset pricing in an intertemporal partially-revealing rational expectations equilibrium. (Q1867770) (← links)
- Maximum likelihood estimation of time-inhomogeneous diffusions. (Q1871562) (← links)
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default (Q1880944) (← links)
- Minimum distance estimation and testing for interest rate models (Q1897668) (← links)
- Long memory continuous time models (Q1922361) (← links)
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework (Q1974032) (← links)
- Term structure modeling and asymptotic long rate (Q1974033) (← links)
- A term structure model with preferences for the timing of resolution of uncertainty (Q2365065) (← links)