Term-structure models. A graduate course
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Publication:930271
DOI10.1007/978-3-540-68015-4zbMATH Open1184.91002OpenAlexW4236324996MaRDI QIDQ930271FDOQ930271
Publication date: 24 June 2008
Published in: Springer Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-540-68015-4
Applications of statistics to actuarial sciences and financial mathematics (62P05) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cited In (only showing first 100 items - show all)
- Infinite dimensional affine processes
- SOCIAL DISCOUNTING AND THE LONG RATE OF INTEREST
- On a class of stochastic partial differential equations with multiple invariant measures
- Large deviations for affine diffusion processes on \(\mathbb R_+^m \times\mathbb R^n\)
- Kernel-correlated Lévy field driven forward rate and application to derivative pricing
- Correction to: ``No-arbitrage commodity option pricing with market manipulation
- Asymptotic expansion for some local volatility models arising in finance
- Affine forward variance models
- General dynamic term structures under default risk
- Discount models
- Portfolio management with benchmark related incentives under mean reverting processes
- The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension
- Affine processes on positive semidefinite matrices
- Credit derivative evaluation and CVA under the benchmark approach
- Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
- Affine processes with compact state space
- BEHAVIOR OF LONG-TERM YIELDS IN A LÉVY TERM STRUCTURE
- Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
- A cyclical square-root model for the term structure of interest rates
- Modelling the Uruguayan Debt Through Gaussians Models
- No-arbitrage commodity option pricing with market manipulation
- A series-form solution for pricing variance and volatility swaps with stochastic volatility and stochastic interest rate
- Heath-Jarrow-Morton-Musiela equation with Lévy perturbation
- Affine Volterra processes
- Linear credit risk models
- Affine processes under parameter uncertainty
- The Markov-switching jump diffusion LIBOR market model
- A direct LU solver for pricing American bond options under Hull-White model
- A noisy principal component analysis for forward rate curves
- EFFICIENT LONG-DATED SWAPTION VOLATILITY APPROXIMATION IN THE FORWARD-LIBOR MODEL
- Forward rate models with linear volatilities
- Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model
- Existence of optimal consumption strategies in markets with longevity risk
- The value of knowing the market price of risk
- Affine representations of fractional processes with applications in mathematical finance
- Alpha-CIR model with branching processes in sovereign interest rate modeling
- Term structure modeling under volatility uncertainty
- The Formation of Financial Bubbles in Defaultable Markets
- Term structure modelling for multiple curves with stochastic discontinuities
- A Hybrid Model for Pricing and Hedging of Long-dated Bonds
- Continuous equilibrium in affine and information-based capital asset pricing models
- Stochastic mortality models: an infinite-dimensional approach
- Empirically effective bond pricing model for USGBs and analysis on term structures of implied interest rates in financial crisis
- Smile and default: the role of stochastic volatility and interest rates in counterparty credit risk
- A Kalman particle filter for online parameter estimation with applications to affine models
- Affine processes beyond stochastic continuity
- Convertible bond valuation in a jump diffusion setting with stochastic interest rates
- Pricing and hedging of inflation-indexed bonds in an affine framework
- White noise calculus in applications to stochastic equations in Hilbert spaces
- A MEAN-FIELD EXTENSION OF THE LIBOR MARKET MODEL
- Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model
- Systematic mortality risk: an analysis of guaranteed lifetime withdrawal benefits in variable annuities
- Exponential moments of affine processes
- Quantile hedging pension payoffs: an analysis of investment incentives
- Pricing bond options in emerging markets: a case study
- A Generalized Intensity-Based Framework for Single-Name Credit Risk
- Density approximations for multivariate affine jump-diffusion processes
- Analytical formula for conditional expectations of path-dependent product of polynomial and exponential functions of extended Cox-Ingersoll-Ross process
- Dependent interest and transition rates in life insurance
- No Arbitrage Theory for Bond Markets
- Affine Variance Swap Curve Models
- Markov-modulated affine processes
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- Interest rate modelling.
- Pricing basket default swaps in a tractable shot noise model
- DYNAMIC CDO TERM STRUCTURE MODELING
- Affine LIBOR Models with Multiple Curves: Theory, Examples and Calibration
- Evaluating discrete dynamic strategies in affine models
- A continuous-time stochastic model for the mortality surface of multiple populations
- A unified approach to pricing and risk management of equity and credit risk
- Shot-noise driven multivariate default models
- A pure-jump mean-reverting short rate model
- Application of Bayesian penalized spline regression for internal modeling in life insurance
- An elementary introduction to stochastic interest rate modeling.
- Old and new approaches to LIBOR modeling
- Stochastic interest rate modelling using a single or multiple curves: an empirical performance analysis of the Lévy forward price model
- On the American swaption in the linear-rational framework
- A Vasicek-Type Short Rate Model With Memory Effect
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA
- Options on bonds: implied volatilities from affine short-rate dynamics
- Explicit Computations for Some Markov Modulated Counting Processes
- Doubly Stochastic CDO Term Structures
- DYNAMIC DEFAULTABLE TERM STRUCTURE MODELING BEYOND THE INTENSITY PARADIGM
- CONSISTENT YIELD CURVE PREDICTION
- Stripping the Swiss discount curve using kernel ridge regression
- LESS-EXPENSIVE VALUATION AND RESERVING OF LONG-DATED VARIABLE ANNUITIES WHEN INTEREST RATES AND MORTALITY RATES ARE STOCHASTIC
- COHERENT CHAOS INTEREST-RATE MODELS
- OPTIMAL CROSS-CURRENCY MORTGAGE DECISIONS
- Wasserstein perturbations of Markovian transition semigroups
- On non-negative modeling with CARMA processes
- Implicit incentives for fund managers with partial information
- The Impact of Stochastic Volatility on Initial Margin and MVA for Interest Rate Derivatives
- Bond and option pricing for interest rate model with clustering effects
- Nonparametric Bayesian volatility learning under microstructure noise
- Valuation of caps and swaptions under a stochastic string model
- Term structure modeling with overnight rates beyond stochastic continuity
- Interest rate modeling with generalized Langevin equations
- Short Communication: Caplet Pricing in Affine Models for Alternative Risk-Free Rates
- Bond indifference prices
- The joint mortality of couples in continuous time
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