A YIELD‐FACTOR MODEL OF INTEREST RATES

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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zbMATH Keywords

jump diffusionsstochastic volatilityterm structure of interest ratesparametric multivariate Markov diffusion process

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

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Cited In (only showing first 100 items - show all)

• Approximating volatility diffusions with CEV-ARCH models
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• The term structure of interest rates in the economic and monetary union
• The role of the dependence between mortality and interest rates when pricing guaranteed annuity options
• POLYNOMIAL TERM STRUCTURE MODELS
• Long-term factorization of affine pricing kernels
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• Portfolio management with benchmark related incentives under mean reverting processes
• Multi-layer model of correlated energy prices
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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
• Conditional Gaussian models of the term structure of interest rates
• Efficient Factor Models For Yield Curve Dynamics
• Currency crises and the term structure of interest rates
• The multifactor nature of the volatility of futures markets
• The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method
• Zero coupon bonds and affine term structures: Reconsidering the one-factor model
• An affine two-factor heteroskedastic macro-finance term structure model
• Term Structure Models: A Perspective from the Long Rate
• 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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• How useful are no-arbitrage restrictions for forecasting the term structure of interest rates?
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• A quantum mechanics for interest rate derivatives markets
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• An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk
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• Affine term structure models: A time‐change approach with perfect fit to market curves
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
• 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
• PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS
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• Short rate nonlinearities and regime switches.

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