Pages that link to "Item:Q1421716"
From MaRDI portal
The following pages link to Finite dimensional affine realisations of HJM models in terms of forward rates and yields (Q1421716):
Displaying 15 items.
- An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
- Shape factors and cross-sectional risk (Q609842) (← links)
- Pricing caps with HJM models: the benefits of humped volatility (Q613457) (← links)
- Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility (Q654788) (← links)
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
- A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
- Existence of Lévy term structure models (Q928496) (← links)
- The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach (Q961403) (← links)
- From bond yield to macroeconomic instability: a parsimonious affine model (Q1683157) (← links)
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective (Q2189908) (← links)
- The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach (Q2507934) (← links)
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (Q2512852) (← links)
- CREDIT DERIVATIVES PRICING WITH STOCHASTIC VOLATILITY MODELS (Q2842532) (← links)
- A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869) (← links)
- RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING (Q3564996) (← links)
