A YIELD‐FACTOR MODEL OF INTEREST RATES
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Publication:4226871
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Cites work
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- scientific article; zbMATH DE number 3505981 (Why is no real title available?)
- 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
- An Intertemporal General Equilibrium Asset Pricing Model: The Case of Diffusion Information
- An Intertemporal General Equilibrium Model of Asset Prices
- An equilibrium characterization of the term structure
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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)- Re-specification of Affine Term Structure Models: The Linkage to Empirical Investigations
- Optimal consumption and portfolio selection with stochastic differential utility
- Estimation of affine asset pricing models using the empirical characteristic function
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk
- Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
- A semi-Markov modulated interest rate model
- Affine realizations with affine state processes for stochastic partial differential equations
- Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor
- Optimal investment strategies in the presence of a minimum guarantee.
- Optimal portfolios with maximum value-at-risk constraint under a hidden Markovian regime-switching model
- 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
- Spectral GMM estimation of continuous-time processes
- A filtered no arbitrage model for term structures from noisy data
- Variance swap dynamics
- On the asymptotic behavior of the prices of Asian options
- The surprise element: Jumps in interest rates.
- Option pricing when correlations are stochastic: an analytical framework
- Asset allocation with time variation in expected returns
- Affine diffusions with non-canonical state space
- Affine term structure models: A time‐change approach with perfect fit to market curves
- Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows
- Consistency conditions for affine term structure models.
- Pricing of discount bonds with a Markov switching regime
- Applications of Gram-Charlier expansion and bond moments for pricing of interest rates and credit risk
- Estimation of a nonparametric model for bond prices from cross-section and time series information
- Evaluating discrete dynamic strategies in affine models
- A multi-quality model of interest rates
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- A multifactor, nonlinear, continuous-time model of interest rate votality
- Static super-replicating strategies for a class of exotic options
- Hedging (co)variance risk with variance swaps
- A simple regime switching term structure model
- Taylor approximation of incomplete Radner equilibrium models
- A GENERAL EQUILIBRIUM MODEL OF THE TERM STRUCTURE OF INTEREST RATES UNDER REGIME-SWITCHING RISK
- Discrete time Wishart term structure models
- Robust portfolio choice with stochastic interest rates
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
- Density approximations for multivariate affine jump-diffusion processes
- The Term Structure of Simple Forward Rates with Jump Risk
- A nonparametric estimator for the covariance function of functional data
- A dynamic programming approach for pricing options embedded in bonds
- Purebred or hybrid?: Reproducing the volatility in term structure dynamics.
- An equilibrium characterization of the term structure
- Affine processes and applications in finance
- Affine processes for dynamic mortality and actuarial valuations
- Forecasting the term structure of government bond yields
- Continuous Time Wishart Process for Stochastic Risk
- Temporal aggregation of volatility models
- Pricing interest-rate-derivative securities
- A theory of the term structure of interest rates
- Affine stochastic mortality
- Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting
- Fundamental bubbles in equity markets
- Local-momentum autoregression and the modeling of interest rate term structure
- Optimal portfolios with regime switching and value-at-risk constraint
- Optimal asset allocation for DC pension plans under inflation
- PRINCIPAL-COMPONENT-BASED GAUSSIAN AFFINE TERM STRUCTURE MODELS: CONSTRAINTS AND THEIR FINANCIAL IMPLICATIONS
- Existence of invariant manifolds for stochastic equations in infinite dimension
- A portfolio-based evaluation of affine term structure models
- Estimating stochastic volatility diffusion using conditional moments of integrated volatility
- Short rate nonlinearities and regime switches.
- The Wishart short rate model
- Interest rates risk-premium and shape of the yield curve
- Exponential moments of affine processes
- Analytical approximations for prices of swap rate dependent embedded options in insurance products
- Financial econometrics: Past developments and future challenges
- A multifactor volatility Heston model
- Functional dynamic factor models with application to yield curve forecasting
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates
- A GENERALIZATION OF PRINCIPAL COMPONENT ANALYSIS FOR NON-OBSERVABLE TERM STRUCTURES IN EMERGING MARKETS
- An arbitrage‐free generalized Nelson–Siegel term structure model
- Saddlepoint approximations for affine jump-diffusion models
- Testing affine term structure models in case of transaction costs
- Time-changed CIR default intensities with two-sided mean-reverting jumps
- The macroeconomy and the yield curve: a dynamic latent factor approach
- What does the yield curve tell us about GDP growth?
- On the equivalence of a class of affine term structure models
- Predicting the yield curve using forecast combinations
- The fair value of guaranteed annuity options
- A cyclical square-root model for the term structure of interest rates
- Identification and estimation of Gaussian affine term structure models
- The affine arbitrage-free class of Nelson-Siegel term structure models
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING
- 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
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