A YIELD‐FACTOR MODEL OF INTEREST RATES
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Publication:4226871
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- The pricing of options and corporate liabilities
Cited in
(only showing first 100 items - show all)- CAT bond pricing under a product probability measure with pot risk characterization
- Conditional Gaussian models of the term structure of interest rates
- Heavy tail and light tail of Cox-Ingersoll-Ross processes with regime-switching
- An alternative approach to the calibration of the Vasicek and CIR interest rate models via generating functions
- The term structure of interest rates in the economic and monetary union
- Approximating volatility diffusions with CEV-ARCH models
- What does the market price of risk tell us in the single factor interest rate model?
- Mean Reversion Level Extensions of Time‐Homogeneous Affine Term Structure Models
- Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence
- Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate
- Portfolio management with benchmark related incentives under mean reverting processes
- An asymptotic analysis of likelihood-based diffusion model selection using high frequency data
- Optimal strategies with option compensation under mean reverting returns or volatilities
- Optimal mortgage prepayment under the Cox-Ingersoll-Ross model
- Cohort and value-based multi-country longevity risk management
- Intelligible factors for the yield curve
- A tale of two yield curves: modeling the joint term structure of dollar and euro interest rates
- Do interest rate options contain information about excess returns?
- How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
- Generalized spectral testing for multivariate continuous-time models
- Sup-convolutions of HARA utilities in the affine term structure
- An econometric model of the term structure of interest rates under regime-switching risk
- A model of discontinuous interest rate behavior, yield curves, and volatility
- A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES
- Currency crises and the term structure of interest rates
- The multifactor nature of the volatility of futures markets
- Long memory affine term structure models
- Nonaffine models of yield term structure
- Specification analysis in regime-switching continuous-time diffusion models for market volatility
- The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
- Term structure movements implicit in Asian option prices
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
- Scenario generation for long run interest rate risk assessment
- Polynomial term structure models
- A preference free partial differential equation for the term structure of interest rates
- An affine two-factor heteroskedastic macro-finance term structure model
- American options and callable bonds under stochastic interest rates and endogenous bankruptcy
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Long-term factorization of affine pricing kernels
- Multi-layer model of correlated energy prices
- Continuous time one-dimensional asset-pricing models with analytic price-dividend functions
- Unspanned stochastic volatility in affine models: evidence from Eurodollar futures and options
- A model of the convenience yields in on-the-run treasuries
- Credit risk analysis of mortgage loans: An application to the Italian market
- Pricing of long dated equity-linked life insurance contracts
- A Control Variate Method for Monte Carlo Simulations of Heath–Jarrow–Morton Models with Jumps
- Asset allocation strategies in the presence of liability constraints
- Indifference pricing of insurance-linked securities in a multi-period model
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions
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- Efficient Factor Models For Yield Curve Dynamics
- Approaches to forecasting volatility: Models and their performances for emerging equity markets
- Term Structure Models: A Perspective from the Long Rate
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- Reduced-form models with regime switching: An empirical analysis for corporate bonds
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- A square root interest rate model fitting discrete initial term structure data
- Consistent fitting of one-factor models to interest rate data.
- Affine models with stochastic market price of risk
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- A model of fiscal dominance under the ``Reinhart conjecture
- DYNAMIC FACTOR MODELS
- A quantum mechanics for interest rate derivatives markets
- Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
- Term structure forecasting in affine framework with time-varying volatility
- Arbitrage-free Nelson-Siegel model for multiple yield curves
- Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias
- Studying term structure of SHIBOR with the two-factor Vasicek model
- Valuing variable annuity guarantees on multiple assets
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- A four-factor stochastic volatility model of commodity prices
- Random step functions model for interest rates
- Probability Properties of Interest Rate Models
- A theory of intermediated investment with hyperbolic discounting investors
- Stochastic Jacobian and Riccati ODE in affine term structure models
- Dynamic functional data analysis with non-parametric state space models
- Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
- Approximate pricing of swaptions in affine and quadratic models
- A dynamic network model of interbank lending -- systemic risk and liquidity provisioning
- On the accuracy of the local linear approximation for the term structure of interest rates
- Mixed-asset portfolio allocation under mean-reverting asset returns
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Bond and option pricing for interest rate model with clustering effects
- Unhedgeable inflation risk within pension schemes
- Staying at zero with affine processes: an application to term structure modelling
- A consistent stochastic model of the term structure of interest rates for multiple tenors
- Log-Gaussian Cox processes in infinite-dimensional spaces
- Affine variance swap curve models
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter
- Modeling the term structure of interest rates with general diffusion processes: a moment approximation approach
- Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
- The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Pricing swaptions under multifactor Gaussian HJM models
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
- Pricing range notes within Wishart affine models
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