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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Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
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- 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)
- 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
- Reexamining time-varying bond risk premia in the post-financial crisis era
- A square root interest rate model fitting discrete initial term structure data
- Random step functions model for interest rates
- Pricing path-dependent options with discrete monitoring under time-changed Lévy processes
- Macroeconomic environment, money demand and portfolio choice
- A simple microstructure model based on the Cox-BESQ process with application to optimal execution policy
- Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
- Bond and option pricing for interest rate model with clustering effects
- A quantum mechanics for interest rate derivatives markets
- Valuing catastrophe bonds involving correlation and CIR interest rate model
- DYNAMIC FACTOR MODELS
- A model of fiscal dominance under the ``Reinhart conjecture
- Mixed-asset portfolio allocation under mean-reverting asset returns
- Unhedgeable inflation risk within pension schemes
- Pricing swaptions under multifactor Gaussian HJM models
- Reweighted Nadaraya-Watson estimation of jump-diffusion models
- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
- Staying at zero with affine processes: an application to term structure modelling
- The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing
- Stochastic Jacobian and Riccati ODE in affine term structure models
- A dynamic network model of interbank lending -- systemic risk and liquidity provisioning
- Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes
- SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
- Estimation of affine term structure models with spanned or unspanned stochastic volatility
- Term structure forecasting in affine framework with time-varying volatility
- A consistent stochastic model of the term structure of interest rates for multiple tenors
- 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
- Pricing range notes within Wishart affine models
- Log-Gaussian Cox processes in infinite-dimensional spaces
- Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias
- Valuing variable annuity guarantees on multiple assets
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences
- Consistent fitting of one-factor models to interest rate data.
- On the accuracy of the local linear approximation for the term structure of interest rates
- 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.
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