A YIELD‐FACTOR MODEL OF INTEREST RATES

DOI10.1111/J.1467-9965.1996.TB00123.XzbMATH Open0915.90014OpenAlexW2068629725MaRDI QIDQ4226871FDOQ4226871

Authors: Rui Kan, Darrell Duffie 

Publication date: 23 February 1999

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1996.tb00123.x

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zbMATH Keywords

jump diffusionsstochastic volatilityterm structure of interest ratesparametric multivariate Markov diffusion process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• The pricing of options and corporate liabilities
• A theory of the term structure of interest rates
• Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
• An equilibrium characterization of the term structure
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• FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES

Cited In (only showing first 100 items - show all)

• Predicting the yield curve using forecast combinations
• On the asymptotic behavior of the prices of Asian options
• Testing affine term structure models in case of transaction costs
• LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
• Pricing interest-rate-derivative securities
• Robust portfolio choice with stochastic interest rates
• The Term Structure of Simple Forward Rates with Jump Risk
• Continuous Time Wishart Process for Stochastic Risk
• Identification and estimation of Gaussian affine term structure models
• Affine realizations with affine state processes for stochastic partial differential equations
• Affine processes for dynamic mortality and actuarial valuations
• Affine stochastic mortality
• An arbitrage‐free generalized Nelson–Siegel term structure model
• On the equivalence of a class of affine term structure models
• A semi-Markov modulated interest rate model
• Variance swap dynamics
• Static super-replicating strategies for a class of exotic options
• Analytical approximations for prices of swap rate dependent embedded options in insurance products
• Affine term structure models: A time‐change approach with perfect fit to market curves
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
• A theory of the term structure of interest rates
• Affine processes and applications in finance
• State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
• 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
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
• Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
• The fair value of guaranteed annuity options
• A cyclical square-root model for the term structure of interest rates
• Pricing of discount bonds with a Markov switching regime
• A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
• Local-momentum autoregression and the modeling of interest rate term structure
• Optimal consumption and portfolio selection with stochastic differential utility
• A nonparametric estimator for the covariance function of functional data
• PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS
• Discrete time Wishart term structure models
• Fundamental bubbles in equity markets
• Interest rates risk-premium and shape of the yield curve
• Affine diffusions with non-canonical state space
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
• Existence of invariant manifolds for stochastic equations in infinite dimension
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
• A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS
• Saddlepoint approximations for affine jump-diffusion models
• Estimating stochastic volatility diffusion using conditional moments of integrated volatility
• Option pricing when correlations are stochastic: an analytical framework
• A portfolio-based evaluation of affine term structure models
• Short rate nonlinearities and regime switches.
• Consistency conditions for affine term structure models.
• A dynamic programming approach for pricing options embedded in bonds
• Forecasting the term structure of government bond yields
• 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
• The surprise element: Jumps in interest rates.
• Temporal aggregation of volatility models
• Optimal asset allocation for DC pension plans under inflation
• Financial econometrics: Past developments and future challenges
• Exponential moments of affine processes
• Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
• Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
• A multifactor, nonlinear, continuous-time model of interest rate votality
• An equilibrium characterization of the term structure
• A multifactor volatility Heston model
• Estimation of affine asset pricing models using the empirical characteristic function
• Estimation of a nonparametric model for bond prices from cross-section and time series information
• A simple regime switching term structure model
• Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
• Density approximations for multivariate affine jump-diffusion processes
• Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
• Optimal portfolios with regime switching and value-at-risk constraint
• The macroeconomy and the yield curve: a dynamic latent factor approach
• What does the yield curve tell us about GDP growth?
• Hedging (co)variance risk with variance swaps
• The Wishart short rate model
• Time-changed CIR default intensities with two-sided mean-reverting jumps
• Asset allocation with time variation in expected returns
• Taylor approximation of incomplete Radner equilibrium models
• Functional dynamic factor models with application to yield curve forecasting
• The affine arbitrage-free class of Nelson-Siegel term structure models
• Spectral GMM estimation of continuous-time processes
• Evaluating discrete dynamic strategies in affine models
• Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
• A filtered no arbitrage model for term structures from noisy data
• Time-consistent mean-variance hedging of longevity risk: effect of cointegration
• Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
• A multi-quality model of interest rates
• Studying term structure of SHIBOR with the two-factor Vasicek model
• Approximate pricing of swaptions in affine and quadratic models
• Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
• Probability Properties of Interest Rate Models
• Affine variance swap curve models
• Portfolio selection with inflation-linked bonds and indexation lags
• Affine models with stochastic market price of risk
• Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
• Arbitrage-free Nelson-Siegel model for multiple yield curves
• A four-factor stochastic volatility model of commodity prices
• A theory of intermediated investment with hyperbolic discounting investors
• Dynamic functional data analysis with non-parametric state space models

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