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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
- Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- A two-factor model for low interest rate regimes
- Asset allocation for a DC pension plan with minimum guarantee constraint and hidden Markov regime-switching
- 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
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- Bayesian inference for long memory term structure models
- 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
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- 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
- The U.S. public debt valuation puzzle
- 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
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- A semi-Markov modulated interest rate model
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- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
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- Multi-layer model of correlated energy prices
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- A model of the convenience yields in on-the-run treasuries
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- 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
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- The multifactor nature of the volatility of futures markets
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