A YIELD‐FACTOR MODEL OF INTEREST RATES
From MaRDI portal
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
Recommendations
- A yield-factor model of interest rates.
- A model for policy interest rates
- Interest rate models -- theory and practice
- A theory of the term structure of interest rates
- Interest rate modeling. Theory and practice
- A multi-quality model of interest rates
- A short term interest rate model
- The Market Model of Interest Rate Dynamics
jump diffusionsstochastic volatilityterm structure of interest ratesparametric multivariate Markov diffusion process
Cites Work
- The pricing of options and corporate liabilities
- A theory of the term structure of interest rates
- Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
- Martingales and arbitrage in multiperiod securities markets
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Martingales and stochastic integrals in the theory of continuous trading
- An Intertemporal General Equilibrium Model of Asset Prices
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- Title not available (Why is that?)
- Title not available (Why is that?)
- 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
- A time-varying Markov chain model of term structure.
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)
- Bias in estimating multivariate and univariate diffusions
- ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- Term structure modeling and asymptotic long rate
- A numerical approach to obtain the yield curves with different risk-neutral drifts
- Libor market model under the real-world measure
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Bond pricing formulas for Markov-modulated affine term structure models
- Likelihood-based inference for a class of multivariate diffusions with unobserved paths
- Time to build and bond risk premia
- Time to build and bond risk premia
- Consistent dynamic affine mortality models for longevity risk applications
- On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- A forward-backward SDE approach to affine models
- On Markovian short rates in term structure models driven by jump-diffusion processes
- Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
- 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
- Measuring the unmeasurable: an application of uncertainty quantification to treasury bond portfolios
- Macroeconomic models and the yield curve: an assessment of the fit
- 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
- A chaotic approach to interest rate modelling
- Domain restrictions on interest rates implied by no arbitrage
- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
- On Markov‐modulated Exponential‐affine Bond Price Formulae
- MODELING TERM STRUCTURE DYNAMICS: AN INFINITE DIMENSIONAL APPROACH
- Explicit solutions of quadratic FBSDEs arising from quadratic term structure models
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- Interest rate theory and geometry
- Shape factors and cross-sectional risk
- Swaption pricing in affine and other models
- A Markov regime-switching marked point process for short-rate analysis with credit risk
- Estimating robustness
- Term structure modelling for multiple curves with stochastic discontinuities
- Maximum likelihood estimation of partially observed diffusion models
- The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach
- The effects of conventional and unconventional monetary policy on forecasting the yield curve
- Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps
- 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
- A class of jump-diffusion bond pricing models within the HJM framework
- Continuous-time multi-cohort mortality modelling with affine processes
- Liquidity risk, price impacts and the replication problem
This page was built for publication: A YIELD‐FACTOR MODEL OF INTEREST RATES
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4226871)
