Pages that link to "Item:Q5363838"

The following pages link to An equilibrium characterization of the term structure (Q5363838):

Displaying 50 items.

• Forecasting the term structure of government bond yields (Q94953) (← links)
• A phylogenetic comparative method for studying multivariate adaptation (Q99910) (← links)
• Robust parameter estimation for the Ornstein-Uhlenbeck process (Q257449) (← links)
• Testing affine term structure models in case of transaction costs (Q262758) (← links)
• Linear trend exclusion for models defined with stochastic differential and difference equations (Q268657) (← links)
• Pricing FX options in the Heston/CIR jump-diffusion model with log-normal and log-uniform jump amplitudes (Q274846) (← links)
• Resampling methods in econometrics (Q275241) (← links)
• A consistent bootstrap test for conditional density functions with time-series data (Q275271) (← links)
• Inference with non-Gaussian Ornstein-Uhlenbeck processes for stochastic volatility (Q278198) (← links)
• Group classification of a generalization of the Heath equation (Q279866) (← links)
• Testing the parametric form of the volatility in continuous time diffusion models -- a stochastic process approach (Q291102) (← links)
• Detections of changes in return by a wavelet smoother with conditional heteroscedastic volatility (Q291114) (← links)
• Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? (Q291853) (← links)
• Multivariate Jacobi process with application to smooth transitions (Q292036) (← links)
• Estimation of partial differential equations with applications in finance (Q295399) (← links)
• Econometric estimation in long-range dependent volatility models: theory and practice (Q299258) (← links)
• A cyclical square-root model for the term structure of interest rates (Q299796) (← links)
• Parameter estimation and bias correction for diffusion processes (Q302098) (← links)
• A two-stage realized volatility approach to estimation of diffusion processes with discrete data (Q302180) (← links)
• A comparison of ancestral state reconstruction methods for quantitative characters (Q307605) (← links)
• Local-momentum autoregression and the modeling of interest rate term structure (Q308389) (← links)
• Consistency of the plug-in functional predictor of the Ornstein-Uhlenbeck process in Hilbert and Banach spaces (Q310616) (← links)
• Generalized moment estimation of stochastic differential equations (Q311323) (← links)
• Credit valuation adjustment of cap and floor with counterparty risk: a structural pricing model for vulnerable European options (Q315043) (← links)
• Interest rates risk-premium and shape of the yield curve (Q316908) (← links)
• Evaluating callable and putable bonds: an eigenfunction expansion approach (Q318869) (← links)
• Partial splitting of longevity and financial risks: the longevity nominal choosing swaptions (Q320262) (← links)
• A tractable interest rate model with explicit monetary policy rates (Q322788) (← links)
• Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability (Q322987) (← links)
• On the control of the difference between two Brownian motions: an application to energy markets modeling (Q324996) (← links)
• An optimal mean-reversion trading rule under a Markov chain model (Q326803) (← links)
• Valuing inflation-linked death benefits under a stochastic volatility framework (Q343966) (← links)
• Option-based risk management of a bond portfolio under regime switching interest rates (Q354661) (← links)
• Efficient portfolio dependent on Cox-Ingersoll-Ross interest rate (Q355333) (← links)
• The Euler-Maruyama approximation for the asset price in the mean-reverting-theta stochastic volatility model (Q356137) (← links)
• Kernel-correlated Lévy field driven forward rate and application to derivative pricing (Q373004) (← links)
• On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245) (← links)
• Discrete-time bond and option pricing for jump-diffusion processes (Q375257) (← links)
• American bond option pricing in one-factor dynamic term structure models (Q375259) (← links)
• A tractable yield-curve model that guarantees positive interest rates (Q375261) (← links)
• Stock index dynamics and derivatives pricing with stochastic interest rates (Q375371) (← links)
• A specification test of stochastic diffusion models (Q385188) (← links)
• Numerical pricing of financial derivatives using Jain's high-order compact scheme (Q387081) (← links)
• Goodness-of-fit test for stochastic volatility models (Q391575) (← links)
• Existence of financial equilibria in continuous time with potentially complete markets (Q392665) (← links)
• A numerical approach to obtain the yield curves with different risk-neutral drifts (Q409791) (← links)
• A comparison of asymptotic analytical formulae with finite-difference approximations for pricing zero coupon bond (Q411529) (← links)
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts (Q413330) (← links)
• Delta-gamma hedging of mortality and interest rate risk (Q414608) (← links)
• A boundary element method to price time-dependent double barrier options (Q426959) (← links)