Interest rate dynamics and consistent forward rate curves
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- Interest rate dynamics and consistent forward rate curves.
- HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
- Phenomenology of the interest rate curve
- On the term structure of interest rates
- Forward interest rate curves in discrete time settings driven by random fields
- The term structure of interest rates and regime shifts
- Nonlinear interest rate dynamics and implications for the terms structure
Cited in
(64)- The SOFR and the Fed's influence over market interest rates
- Phenomenology of the interest rate curve
- A Quantum Field Theory Term Structure Model Applied to Hedging
- The SR approach: a new estimation procedure for non-linear and non-Gaussian dynamic term structure models
- Fractional term structure models: No-arbitrage and consistency
- Funding shortages, expectations, and forward rate risk premium
- The geometry of differential constraints for a class of evolution PDEs
- ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Term structure analysis with big data: one-step estimation using bond prices
- Interest rate options valuation under incomplete information
- Consistent variance curve models
- The dynamics of implied volatilities: a common principal components approach
- ARBITRAGE SMOOTHING IN FITTING A SEQUENCE OF YIELD CURVES
- Stochastic viability for regular closed sets in Hilbert spaces
- Term Structure Models with Parallel and Proportional Shifts
- Consistent dynamic affine mortality models for longevity risk applications
- Black's consol rate conjecture
- Consistency problems for Heath-Jarrow-Morton interest rate models
- The stochastic string model as a unifying theory of the term structure of interest rates
- The geometry of multi-curve interest rate models
- Consistent curves in the -world: optimal bonds portfolio
- Strong consistency of parameter estimators and simulations in a forward interest rate model
- A note on the Nelson-Siegel family
- TERM STRUCTURE OF VANILLA OPTIONS
- CONDITIONS FOR CONSISTENT EXPONENTIAL-POLYNOMIAL FORWARD RATE PROCESSES WITH MULTIPLE NONTRIVIAL FACTORS
- Interest rate futures and bank hedging
- A Theoretically Consistent Version of the Nelson and Siegel Class of Yield Curve Models
- Domain restrictions on interest rates implied by no arbitrage
- On finite dimensional realizations of two-country interest rate models
- HEATH–JARROW–MORTON INTEREST RATE DYNAMICS AND APPROXIMATELY CONSISTENT FORWARD RATE CURVES
- Interest rate theory and geometry
- Shape factors and cross-sectional risk
- PROJECTING THE FORWARD RATE FLOW ONTO A FINITE DIMENSIONAL MANIFOLD
- Efficient calibration of trinomial trees for one-factor short rate models
- Long-term factorization in Heath-Jarrow-Morton models
- A remark on credit risk models and copula
- Existence of invariant manifolds for stochastic equations in infinite dimension
- Exponential-polynomial families and the term structure of interest rates
- Hysteresis effects under CIR interest rates
- Consistent parallel and proportional shifts in the term structure of futures prices
- Stochastic PDEs in \(\mathcal{S}'\) for SDEs driven by Lévy noise
- Forecasting the term structure of government bond yields
- Entropy and information in the interest rate term structure
- Consistency Problems for Jump‐diffusion Models
- A model of the term structure of interest rates based on Lévy fields
- Dynamically consistent analysis of realized covariations in term structure models
- Term structure shapes and their consistent dynamics in the Svensson family
- AFFINE PROCESSES, ARBITRAGE-FREE TERM STRUCTURES OF LEGENDRE POLYNOMIALS, AND OPTION PRICING
- Note on the Smith-Wilson interest rate curve
- Fitting dynamically consistent forward rate curves: algorithm and comparison
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- A PDE based implementation of the Hull\,\&\,White model for cash flow derivatives
- On the calibration of a Gaussian Heath-Jarrow-Morton model using consistent forward rate curves
- Generalized Nelson-Siegel term structure model: do the second slope and curvature factors improve the in-sample fit and out-of-sample forecasts?
- Pricing the Chicago Board of Trade T-Bond futures
- The macroeconomy and the yield curve: a dynamic latent factor approach
- Forward transition rates
- Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
- A finite-dimensional HJM model: How important is arbitrage-free evolution?
- Arbitrage-free interpolation of the swap curve
- In memoriam: Tomas Björk (1947--2021). On his career and beyond
- Monetary policy and the term structure of inflation expectations with information frictions
- Interest rate prediction: a neuro-hybrid approach with data preprocessing
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