Risk Premia and Volatilities in a Nonlinear Term Structure Model

DOI10.1093/ROF/RFW052zbMath1425.91399OpenAlexW3124832164MaRDI QIDQ5237833

Philipp Illeditsch, Christian Heyerdahl-Larsen, Peter Feldhütter

Publication date: 25 October 2019

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://lbsresearch.london.edu/id/eprint/568/1/Risk_Premia_Review_of_Finance_Feldhutter_P_Heyerdahl-Larsen_C_2016.pdf

zbMATH Keywords

stochastic volatilityunspanned stochastic volatilityexpected excess returnsnonlinear term structure modelsunspanned risk premia

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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