A YIELD‐FACTOR MODEL OF INTEREST RATES
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Publication:4226871
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- 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
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- 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)- A multi-quality model of interest rates
- Approximating volatility diffusions with CEV-ARCH models
- What does the market price of risk tell us in the single factor interest rate model?
- On the accuracy of the local linear approximation for the term structure of interest rates
- Bond pricing when the short-term interest rate follows a threshold process
- A stochastic monetary policy interest rate model
- Term structure movements implicit in Asian option prices
- Predicting the yield curve using forecast combinations
- Bonds, currencies and expectational errors
- Risks and risk premia in the US Treasury market
- A time-varying Markov chain model of term structure.
- Large deviations for affine diffusion processes on R_+^m R^n
- Nonaffine models of yield term structure
- Studying term structure of SHIBOR with the two-factor Vasicek model
- Interest rate derivatives pricing with volatility smile
- On the asymptotic behavior of the prices of Asian options
- Testing affine term structure models in case of transaction costs
- Bias in estimating multivariate and univariate diffusions
- TIME-VARYING RISK PREMIA IN EMERGING MARKETS: EXPLANATION BY A MULTI-FACTOR AFFINE TERM STRUCTURE MODEL
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- Equilibrium implications of interest rate smoothing
- Approximate pricing of swaptions in affine and quadratic models
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
- Real-world versus risk-neutral measures in the estimation of an interest rate model with stochastic volatility
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- A two-factor model for low interest rate regimes
- Bilinear term structure model
- Probability Properties of Interest Rate Models
- The term structure of interest rates in the economic and monetary union
- Pricing European options on deferred annuities
- A numerical approach to obtain the yield curves with different risk-neutral drifts
- Portfolio selection with inflation-linked bonds and indexation lags
- ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Robust portfolio choice with stochastic interest rates
- Term structure modeling and asymptotic long rate
- Pricing interest-rate-derivative securities
- Affine variance swap curve models
- Identification and estimation of Gaussian affine term structure models
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Affine models with stochastic market price of risk
- Affine realizations with affine state processes for stochastic partial differential equations
- A general model system related to affine stochastic differential equations
- Libor market model under the real-world measure
- The Term Structure of Simple Forward Rates with Jump Risk
- On the role of state variables in interest rates models
- Three-factor interest rate models
- Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution
- Continuous Time Wishart Process for Stochastic Risk
- Affine processes for dynamic mortality and actuarial valuations
- On the equivalence of a class of affine term structure models
- Long-term factorization of affine pricing kernels
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Affine stochastic mortality
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
- Indifference pricing of insurance-linked securities in a multi-period model
- The real risk in pension forecasting
- Portfolio management with benchmark related incentives under mean reverting processes
- An arbitrage‐free generalized Nelson–Siegel term structure model
- Static super-replicating strategies for a class of exotic options
- A semi-Markov modulated interest rate model
- Arbitrage-free Nelson-Siegel model for multiple yield curves
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Time series of functional data with application to yield curves
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
- Bond pricing formulas for Markov-modulated affine term structure models
- Likelihood-based inference for a class of multivariate diffusions with unobserved paths
- Multi-layer model of correlated energy prices
- Continuous time one-dimensional asset-pricing models with analytic price-dividend functions
- A model of the convenience yields in on-the-run treasuries
- Credit risk analysis of mortgage loans: An application to the Italian market
- Analytical approximations for prices of swap rate dependent embedded options in insurance products
- Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
- Term Structure Models with Parallel and Proportional Shifts
- Noncausal affine processes with applications to derivative pricing
- Variance swap dynamics
- Conditional Gaussian models of the term structure of interest rates
- Consistent dynamic affine mortality models for longevity risk applications
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- A four-factor stochastic volatility model of commodity prices
- A theory of intermediated investment with hyperbolic discounting investors
- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
- Time to build and bond risk premia
- Time to build and bond risk premia
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models
- The new interest rate models. Recent developments in the theory and application of yield curve dynamics
- A theory of the nominal term structure of interest rates.
- Reexamining time-varying bond risk premia in the post-financial crisis era
- A forward-backward SDE approach to affine models
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Dynamic functional data analysis with non-parametric state space models
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Currency crises and the term structure of interest rates
- The multifactor nature of the volatility of futures markets
- The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
- Pricing with finite dimensional dependence
- Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model
- Efficient Factor Models For Yield Curve Dynamics
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