A model of discontinuous interest rate behavior, yield curves, and volatility
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Publication:941729
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Cites work
- A general characterization of one factor affine term structure models
- A theory of the term structure of interest rates
- Affine processes and applications in finance
- An equilibrium characterization of the term structure
- An introduction to the theory of point processes
- scientific article; zbMATH DE number 4204268 (Why is no real title available?)
- scientific article; zbMATH DE number 1215449 (Why is no real title available?)
- scientific article; zbMATH DE number 3223982 (Why is no real title available?)
- Large Sample Properties of Generalized Method of Moments Estimators
- Option Pricing With V. G. Martingale Components1
- Some stationary processes in discrete and continuous time
- Term structure models driven by general Lévy processes
- The Fundamental Approximation Theorem of Portfolio Analysis in terms of Means, Variances and Higher Moments
Cited in
(6)- The surprise element: Jumps in interest rates.
- Term structure modelling for multiple curves with stochastic discontinuities
- A volatility-varying and jump-diffusion Merton type model of interest rate risk
- Decreasing Yield Curves in a Model with an Unknown Constant Growth Rate
- Generalized Inv-Log-Gamma-G processes
- Log-gamma motion as flexible model for generalized interest rates
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