Interest rate term structure modelling
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Publication:2275618
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Cites work
- An equilibrium characterization of the term structure
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Cited in
(33)- Stochastic string models with continuous semimartingales
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default
- Long horizon predictability: an asset allocation perspective
- Improved scalability and risk factor proxying with a two-step principal component analysis for multi-curve modelling
- Valuation of caps and swaptions under a stochastic string model
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- Affine model of inflation-indexed derivatives and inflation risk premium
- Pricing and risk management of interest rate swaps
- Three-factor interest rate models
- Generalized interest rate dynamics and its impacts on finance and pensions
- A cyclical square-root model for the term structure of interest rates
- Adjustable and fixed interest rates mortgage markets modelling
- Review Paper. Interest–rate term–structure pricing models: a review
- Modeling the term structure of interest rates: a review of the literature
- A noisy principal component analysis for forward rate curves
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- THE CARMA INTEREST RATE MODEL
- Information of interest
- On the term structure of interest rates and the risk of default: an analytical approach
- Modelling stylized features in default rates
- AN ALTERNATIVE INTEREST RATE TERM STRUCTURE MODEL
- Interest Rate Risk Management
- A term structure model for dividends and interest rates
- A new bivariate approach for modeling the interaction between stock volatility and interest rate: an application to S\&P500 returns and options
- Determining the term structure of interest rates
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