A YIELD‐FACTOR MODEL OF INTEREST RATES
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Publication:4226871
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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Cited In (only showing first 100 items - show all)
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- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
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- Long-term factorization of affine pricing kernels
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- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
- A model of the convenience yields in on-the-run treasuries
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- CAT BOND PRICING UNDER A PRODUCT PROBABILITY MEASURE WITH POT RISK CHARACTERIZATION
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- Efficient Factor Models For Yield Curve Dynamics
- Currency crises and the term structure of interest rates
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- The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
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- An affine two-factor heteroskedastic macro-finance term structure model
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- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- Cohort and value-based multi-country longevity risk management
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
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- Forward-backward SDEs and the CIR model
- Testing for the Markov property in time series
- What is the natural scale for a Lévy process in modelling term structure of interest rates?
- The term structure of interest rates under regime shifts and jumps
- Macroeconomic models and the yield curve: an assessment of the fit
- Cash Flow Matching
- Moment generating function approach to pricing interest rate and foreign exchange rate claims.
- Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
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- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
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- A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
- A bidimensional approach to mortality risk
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
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