An equilibrium characterization of the term structure
From MaRDI portal
Publication:5363838
DOI10.1016/0304-405X(77)90016-2zbMath1372.91113OpenAlexW2076057077WikidataQ55952072 ScholiaQ55952072MaRDI QIDQ5363838
Publication date: 1 October 2017
Published in: Journal of Financial Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-405x(77)90016-2
Related Items (only showing first 100 items - show all)
Analytical expressions to counterparty credit risk exposures for interest rate derivatives ⋮ Reliability index and Asian barrier option pricing formulas of the uncertain fractional first-hitting time model with Caputo type ⋮ On the term structure of lending interest rates when a fraction of collateral is recovered upon default ⋮ Non-extensive minimal entropy martingale measures and semi-Markov regime switching interest rate modeling ⋮ Error bounds for model reduction of feedback-controlled linear stochastic dynamics on Hilbert spaces ⋮ Model order reduction for the simulation of parametric interest rate models in financial risk analysis ⋮ Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process ⋮ A flexible lattice framework for valuing options on assets paying discrete dividends and variable annuities embedding GMWB riders ⋮ Minimum distance estimation and testing for interest rate models ⋮ Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance ⋮ Bond prices under information asymmetry and a short rate with instantaneous feedback ⋮ Valuation of annuity guarantees under a self-exciting switching jump model ⋮ Hitting time problems of sticky Brownian motion and their applications in optimal stopping and bond pricing ⋮ Volatility of volatility: estimation and tests based on noisy high frequency data with jumps ⋮ Affine arbitrage-free yield net models with application to the euro debt crisis ⋮ Sample recycling method -- a new approach to efficient nested Monte Carlo simulations ⋮ Quasi-closed-form solution and numerical method for currency option with uncertain volatility model ⋮ Planetary boundaries of consumption growth: declining social discount rates ⋮ Pricing participating longevity-linked life annuities: a Bayesian model ensemble approach ⋮ Profit optimization of cattle growth with variable prices ⋮ Stochastic modeling of currency exchange rates with novel validation techniques ⋮ An interest-rate model with jumps for uncertain financial markets ⋮ Generalized Ait-Sahalia-type interest rate model with Poisson jumps and convergence of the numerical approximation ⋮ Pricing commodity-linked bonds with stochastic convenience yield, interest rate and counterparty credit risk: application of Mellin transform methods ⋮ The distribution of strike size: empirical evidence from Europe and north America in the 19th and 20th centuries ⋮ Options as silver bullets: valuation of term loans, inventory management, emissions trading and insurance risk mitigation using option theory ⋮ Long memory continuous time models ⋮ Robust analysis of default intensity ⋮ Bayesian inference in a stochastic volatility Nelson-Siegel model ⋮ Information ratio test for model misspecification on parametric structures in stochastic diffusion models ⋮ Estimated inflation rate, consumption and portfolio decision ⋮ The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers ⋮ Risk measures and behaviors for bonds under stochastic interest rate models ⋮ A forward-backward SDE approach to affine models ⋮ Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective ⋮ First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise ⋮ Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations ⋮ Brownian meanders, importance sampling and unbiased simulation of diffusion extremes ⋮ Parameter estimation and model testing for Markov processes via conditional characteristic functions ⋮ Testing for the Box-Cox parameter for an integrated process ⋮ Goodness-of-fit test for interest rate models: an approach based on empirical processes ⋮ Uncertain term structure model of interest rate ⋮ Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model ⋮ Pricing rate of return guarantees in a Heath-Jarrow-Morton framework ⋮ Term structure modeling and asymptotic long rate ⋮ Pricing and simulating catastrophe risk bonds in a Markov-dependent environment ⋮ Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation ⋮ Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields ⋮ A new delta expansion for multivariate diffusions via the Itô-Taylor expansion ⋮ Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates ⋮ Inference in a multivariate generalized mean-reverting process with a change-point ⋮ Estimation and testing in generalized mean-reverting processes with change-point ⋮ Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise ⋮ Pricing puttable convertible bonds with integral equation approaches ⋮ Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme ⋮ A competing risks analysis of the duration of federal target funds rates ⋮ Numerical techniques for pricing callable bonds with notice ⋮ Tractable forms of the bond pricing equation ⋮ Approximate maximum likelihood estimation of a threshold diffusion process ⋮ Estimating the counterparty risk exposure by using the Brownian motion local time ⋮ An investment and consumption problem with CIR interest rate and stochastic volatility ⋮ Poissonian subordinators, the Wiener-Ornstein-Uhlenbeck field, and a relation between the Ornstein-Uhlenbeck processes and Brownian bridges ⋮ Efficient calibration of trinomial trees for one-factor short rate models ⋮ The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests ⋮ Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process ⋮ An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate ⋮ The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate ⋮ Codifference as a practical tool to measure interdependence ⋮ Portfolio optimization with irreversible long-term investments in renewable energy under policy risk: a mixed-integer multistage stochastic model and a moving-horizon approach ⋮ How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models? ⋮ Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation ⋮ Lévy-Ito models in finance ⋮ International investing in uncertain financial market ⋮ Two-factor term structure model with uncertain volatility risk ⋮ Modelling dynamic lapse with survival analysis and machine learning in CPI ⋮ PDE models for the pricing of a defaultable coupon-bearing bond under an extended JDCEV model ⋮ Estimating drift parameters in a non-ergodic Gaussian Vasicek-type model ⋮ Closed-form formulas for conditional moments of inhomogeneous Pearson diffusion processes ⋮ Statistical inference for nonergodic weighted fractional Vasicek models ⋮ A revised version of the Cathcart \& El-Jahel model and its application to CDS market ⋮ The Gauss2++ model: a comparison of different measure change specifications for a consistent risk neutral and real world calibration ⋮ Maximum likelihood estimation for sub-fractional Vasicek model ⋮ Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process ⋮ Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model ⋮ Computation of powered option prices under a general model for underlying asset dynamics ⋮ Maximum likelihood estimation of diffusions by continuous time Markov chain ⋮ Is normal backwardation normal? Valuing financial futures with a local index-rate covariance ⋮ Kalman filter approach to real options with active learning ⋮ Pricing of multiple defaultable bond ⋮ Pricing of European call option under fuzzy interest rate ⋮ Hybrid equity swap, cap, and floor pricing under stochastic interest by Markov chain approximation ⋮ An efficient Monte Carlo simulation for new uncertain Heston-CIR hybrid model ⋮ How to handle negative interest rates in a CIR framework ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate ⋮ Efficient valuation of guaranteed minimum maturity benefits in regime switching jump diffusion models with surrender risk ⋮ American options and stochastic interest rates ⋮ Alternative way to derive the distribution of the multivariate Ornstein-Uhlenbeck process ⋮ Time horizon and the discount rate. ⋮ Asset pricing in an intertemporal partially-revealing rational expectations equilibrium. ⋮ Maximum likelihood estimation of time-inhomogeneous diffusions.
This page was built for publication: An equilibrium characterization of the term structure
