A YIELD‐FACTOR MODEL OF INTEREST RATES
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Publication:4226871
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Cites work
- scientific article; zbMATH DE number 3924012 (Why is no real title available?)
- scientific article; zbMATH DE number 3780265 (Why is no real title available?)
- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 3214560 (Why is no real title available?)
- A theory of the term structure of interest rates
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Pricing interest-rate-derivative securities
- The pricing of options and corporate liabilities
Cited in
(only showing first 100 items - show all)- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
- A square root interest rate model fitting discrete initial term structure data
- Consistent fitting of one-factor models to interest rate data.
- Affine models with stochastic market price of risk
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- A model of fiscal dominance under the ``Reinhart conjecture
- DYNAMIC FACTOR MODELS
- A quantum mechanics for interest rate derivatives markets
- Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
- Term structure forecasting in affine framework with time-varying volatility
- Arbitrage-free Nelson-Siegel model for multiple yield curves
- Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias
- Studying term structure of SHIBOR with the two-factor Vasicek model
- Valuing variable annuity guarantees on multiple assets
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- A four-factor stochastic volatility model of commodity prices
- Random step functions model for interest rates
- Probability Properties of Interest Rate Models
- A theory of intermediated investment with hyperbolic discounting investors
- Stochastic Jacobian and Riccati ODE in affine term structure models
- Dynamic functional data analysis with non-parametric state space models
- Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
- Approximate pricing of swaptions in affine and quadratic models
- A dynamic network model of interbank lending -- systemic risk and liquidity provisioning
- On the accuracy of the local linear approximation for the term structure of interest rates
- Mixed-asset portfolio allocation under mean-reverting asset returns
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Bond and option pricing for interest rate model with clustering effects
- Unhedgeable inflation risk within pension schemes
- Staying at zero with affine processes: an application to term structure modelling
- A consistent stochastic model of the term structure of interest rates for multiple tenors
- Log-Gaussian Cox processes in infinite-dimensional spaces
- Affine variance swap curve models
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
- Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Pricing swaptions under multifactor Gaussian HJM models
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
- Pricing range notes within Wishart affine models
- Reexamining time-varying bond risk premia in the post-financial crisis era
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
- Macroeconomic environment, money demand and portfolio choice
- Portfolio selection with inflation-linked bonds and indexation lags
- SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
- Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
- Optimal consumption and portfolio selection with stochastic differential utility
- Estimation of affine asset pricing models using the empirical characteristic function
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- A semi-Markov modulated interest rate model
- Affine realizations with affine state processes for stochastic partial differential equations
- Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- A numerical PDE approach for pricing callable bonds
- A joint econometric model of macroeconomic and term-structure dynamics
- Multivariate Jacobi process with application to smooth transitions
- Spectral GMM estimation of continuous-time processes
- A filtered no arbitrage model for term structures from noisy data
- Variance swap dynamics
- On the asymptotic behavior of the prices of Asian options
- The surprise element: Jumps in interest rates.
- Option pricing when correlations are stochastic: an analytical framework
- Asset allocation with time variation in expected returns
- Affine diffusions with non-canonical state space
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
- Consistency conditions for affine term structure models.
- Pricing of discount bonds with a Markov switching regime
- Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Evaluating discrete dynamic strategies in affine models
- A multi-quality model of interest rates
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- A multifactor, nonlinear, continuous-time model of interest rate votality
- Static super-replicating strategies for a class of exotic options
- Hedging (co)variance risk with variance swaps
- A simple regime switching term structure model
- Taylor approximation of incomplete Radner equilibrium models
- A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
- Discrete time Wishart term structure models
- Robust portfolio choice with stochastic interest rates
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
- Density approximations for multivariate affine jump-diffusion processes
- The Term Structure of Simple Forward Rates with Jump Risk
- A nonparametric estimator for the covariance function of functional data
- A dynamic programming approach for pricing options embedded in bonds
- Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
- An equilibrium characterization of the term structure
- Affine processes and applications in finance
- Affine processes for dynamic mortality and actuarial valuations
- Forecasting the term structure of government bond yields
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