A YIELD‐FACTOR MODEL OF INTEREST RATES
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Publication:4226871
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- scientific article; zbMATH DE number 3214560 (Why is no real title available?)
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- 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)- On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models
- Testing for the Markov property in time series
- Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
- Bias in the estimation of the mean reversion parameter in continuous time models
- A forward-backward SDE approach to affine models
- Maximum likelihood estimation of partially observed diffusion models
- The Riccati equation in mathematical finance.
- On matching diffusions, Laplace transforms and partial differential equations
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
- A time-varying Markov chain model of term structure.
- On Markovian short rates in term structure models driven by jump-diffusion processes
- Parametric and nonparametric models and methods in financial econometrics
- Moment generating function approach to pricing interest rate and foreign exchange rate claims.
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- What is the natural scale for a Lévy process in modelling term structure of interest rates?
- Quadratic stochastic intensity and prospective mortality tables
- Bond pricing formulas for Markov-modulated affine term structure models
- Term structure modeling and asymptotic long rate
- Macroeconomic models and the yield curve: an assessment of the fit
- Swaption pricing in affine and other models
- A unified approach to pricing and risk management of equity and credit risk
- Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
- The effects of conventional and unconventional monetary policy on forecasting the yield curve
- Domain restrictions on interest rates implied by no arbitrage
- Exchange rates and interest rates: can term structure models explain currency movements?
- Reweighted functional estimation of diffusion models
- Pricing average options under time-changed Lévy processes
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Term structure models and the zero bound: an empirical investigation of Japanese yields
- A numerical approach to obtain the yield curves with different risk-neutral drifts
- A Markov regime-switching marked point process for short-rate analysis with credit risk
- A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
- A class of jump-diffusion bond pricing models within the HJM framework
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)
- A chaotic approach to interest rate modelling
- Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps
- Estimating robustness
- A tractable yield-curve model that guarantees positive interest rates
- Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach
- Stock index dynamics and derivatives pricing with stochastic interest rates
- A joint stock and bond market based on the hyperbolic Gaussian model
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- Analysis of multifactor affine yield curve models
- Interest rate theory and geometry
- Shape factors and cross-sectional risk
- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK
- OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
- A continuous-time stochastic model for the mortality surface of multiple populations
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- A Bayesian approach to term structure modeling using heavy-tailed distributions
- Term structure modelling for multiple curves with stochastic discontinuities
- Likelihood-based inference for a class of multivariate diffusions with unobserved paths
- Libor market model under the real-world measure
- A model for interest rates with clustering effects
- Bond pricing under mixed generalized CIR model with mixed Wishart volatility process
- CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS
- Continuous-time multi-cohort mortality modelling with affine processes
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- Prediction bias correction for dynamic term structure models
- Forward-backward SDEs and the CIR model
- The term structure of interest rates under regime shifts and jumps
- Liquidity risk, price impacts and the replication problem
- A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach
- Time to build and bond risk premia
- Time to build and bond risk premia
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- Bias in estimating multivariate and univariate diffusions
- MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
- Markovian term structure models in discrete time
- A bidimensional approach to mortality risk
- Cash flow matching: a risk management approach
- The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
- Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
- Consistent dynamic affine mortality models for longevity risk applications
- 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
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- 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
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