Pages that link to "Item:Q928499"

The following pages link to Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q928499):

Displaying 25 items.

• A tractable LIBOR model with default risk (Q356479) (← links)
• On the limit distributions of continuous-state branching processes with immigration (Q429288) (← links)
• Existence of limiting distribution for affine processes (Q777128) (← links)
• Correction to: Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q1709609) (← links)
• On the distribution of extended CIR model (Q1726700) (← links)
• Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations (Q1743339) (← links)
• Yield curve shapes of Vašíček interest rate models, measure transformations and an application for the simulation of pension products (Q2209788) (← links)
• Discussion on: ``Yield curve shapes of Vasiçek interest rate models, measure transformations and an application for the simulation of pension products'' (Q2209789) (← links)
• Alpha-CIR model with branching processes in sovereign interest rate modeling (Q2364536) (← links)
• Holomorphic transforms with application to affine processes (Q2391274) (← links)
• Stochastic equation and exponential ergodicity in Wasserstein distances for affine processes (Q2657935) (← links)
• Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion (Q2798172) (← links)
• Exponential Ergodicity of the Jump-Diffusion CIR Process (Q2801798) (← links)
• THE AFFINE LIBOR MODELS (Q2851558) (← links)
• MOMENT EXPLOSIONS AND LONG-TERM BEHAVIOR OF AFFINE STOCHASTIC VOLATILITY MODELS (Q3069958) (← links)
• Bond and option pricing for interest rate model with clustering effects (Q4554475) (← links)
• THE WISHART SHORT RATE MODEL (Q4909141) (← links)
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices (Q5005036) (← links)
• Moments and ergodicity of the jump-diffusion CIR process (Q5087038) (← links)
• Nonaffine Models of Yield Term Structure (Q5126540) (← links)
• THE CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL — A TOTAL POSITIVITY APPROACH (Q5157842) (← links)
• Exponential ergodicity of an affine two-factor model based on the α-root process (Q5233204) (← links)
• CONSISTENT PARALLEL AND PROPORTIONAL SHIFTS IN THE TERM STRUCTURE OF FUTURES PRICES (Q5245891) (← links)
• Are multi-factor Gaussian term structure models still useful? An empirical analysis on Italian BTPs (Q5867418) (← links)
• STATE SPACE DECOMPOSITION AND CLASSIFICATION OF TERM STRUCTURE SHAPES IN THE TWO-FACTOR VASICEK MODEL (Q6182052) (← links)