A YIELD‐FACTOR MODEL OF INTEREST RATES
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Publication:4226871
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- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 3214560 (Why is no real title available?)
- A theory of the term structure of interest rates
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- An Intertemporal General Equilibrium Model of Asset Prices
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- FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Pricing interest-rate-derivative securities
- The pricing of options and corporate liabilities
Cited in
(only showing first 100 items - show all)- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model
- 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
- Reexamining time-varying bond risk premia in the post-financial crisis era
- Direct estimation of the risk neutral factor dynamics of Gaussian term structure models
- Macroeconomic environment, money demand and portfolio choice
- Portfolio selection with inflation-linked bonds and indexation lags
- SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM
- On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models
- Testing for the Markov property in time series
- Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions
- Bias in the estimation of the mean reversion parameter in continuous time models
- A forward-backward SDE approach to affine models
- Maximum likelihood estimation of partially observed diffusion models
- The Riccati equation in mathematical finance.
- On matching diffusions, Laplace transforms and partial differential equations
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
- A time-varying Markov chain model of term structure.
- On Markovian short rates in term structure models driven by jump-diffusion processes
- Parametric and nonparametric models and methods in financial econometrics
- Moment generating function approach to pricing interest rate and foreign exchange rate claims.
- Bayesian inference in a stochastic volatility Nelson-Siegel model
- What is the natural scale for a Lévy process in modelling term structure of interest rates?
- Quadratic stochastic intensity and prospective mortality tables
- Bond pricing formulas for Markov-modulated affine term structure models
- Term structure modeling and asymptotic long rate
- Macroeconomic models and the yield curve: an assessment of the fit
- Swaption pricing in affine and other models
- A unified approach to pricing and risk management of equity and credit risk
- Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
- The effects of conventional and unconventional monetary policy on forecasting the yield curve
- Domain restrictions on interest rates implied by no arbitrage
- Exchange rates and interest rates: can term structure models explain currency movements?
- Reweighted functional estimation of diffusion models
- Pricing average options under time-changed Lévy processes
- Characteristic function-based testing for multifactor continuous-time Markov models via nonparametric regression
- Term structure models and the zero bound: an empirical investigation of Japanese yields
- A numerical approach to obtain the yield curves with different risk-neutral drifts
- A Markov regime-switching marked point process for short-rate analysis with credit risk
- A FAMILY OF TERM‐STRUCTURE MODELS FOR LONG‐TERM RISK MANAGEMENT AND DERIVATIVE PRICING
- A class of jump-diffusion bond pricing models within the HJM framework
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)
- A chaotic approach to interest rate modelling
- Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps
- Estimating robustness
- A tractable yield-curve model that guarantees positive interest rates
- Interest rate derivatives in a Duffie and Kan model with stochastic volatility: an Arrow-Debreu pricing approach
- Stock index dynamics and derivatives pricing with stochastic interest rates
- A joint stock and bond market based on the hyperbolic Gaussian model
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
- Analysis of multifactor affine yield curve models
- Interest rate theory and geometry
- Shape factors and cross-sectional risk
- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality
- ESTIMATES OF THE SHORT-TERM RATE PROCESS IN AN ARBITRAGE-FREE FRAMEWORK
- OPTIMAL INVESTMENT DECISIONS FOR A PORTFOLIO WITH A ROLLING HORIZON BOND AND A DISCOUNT BOND
- A continuous-time stochastic model for the mortality surface of multiple populations
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