scientific article; zbMATH DE number 852306

MaRDI QIDQ4868517zbMATH OpenFDO

Authors L. C. G. Rogers

Publication date 6 March 1996

zbMATH Keywords

squared-Gaussian modelsterm structure of interest rates

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Economic growth models (91B62) Economic time series analysis (91B84)

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Cited in

(24)

• A model of the term structure of interest rates for an economically dependent country
• On the quasi Gaussian interest rate models
• A comparative evaluation of alternative models of the term structure of interest rates
• Consistent fitting of one-factor models to interest rate data.
• The Riccati equation in mathematical finance.
• On the distribution of extended CIR model
• Term structure modeling and asymptotic long rate
• Lévy-Ito models in finance
• Interest rate term structure modelling
• Financial planning for Young households
• Asset allocation strategies in the presence of liability constraints
• A two-factor model for low interest rate regimes
• Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
• A cyclical square-root model for the term structure of interest rates
• A tractable yield-curve model that guarantees positive interest rates
• Characterizing Gaussian Models of the Term Structure of Interest Rates
• Convertible bond valuation in a jump diffusion setting with stochastic interest rates
• Affine fractional stochastic volatility models
• The Continuous-Time Ehrenfest Process in Term Structure Modelling
• “Cash Flow Matching: A Risk Management Approach”, Garud Iyengar and Alfred Ka Chun Ma, July, 2009
• Affine term structure models: A time‐change approach with perfect fit to market curves
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
• Efficient pricing of interest rate derivatives under a sticky diffusion
• Valuation and hedging of life insurance liabilities with systematic mortality risk

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