Pages that link to "Item:Q2856469"
From MaRDI portal
The following pages link to A theory of the term structure of interest rates (Q2856469):
Displaying 50 items.
- Financial options and statistical prediction intervals (Q1431433) (← links)
- An analytically tractable interest rate model with humped volatility (Q1579480) (← links)
- Term structure views of monetary policy under alternative models of agent expectations (Q1583315) (← links)
- Consistent fitting of one-factor models to interest rate data. (Q1584583) (← links)
- New solutions to the bond-pricing equation via Lie's classical method (Q1585830) (← links)
- The Riccati equation in mathematical finance. (Q1599553) (← links)
- The rational expectation dynamics of a model for the term structure and monetary policy (Q1601360) (← links)
- Do we need multi-country models to explain exchange rate and interest rate and bond return dynamics? (Q1605424) (← links)
- The expectations hypothesis of the term structure of interest rates, open interest rate parity and central bank policy reaction (Q1606434) (← links)
- The term premium, time varying interest rate volatility and central bank policy reaction (Q1608822) (← links)
- Pricing derivatives in the presence of shadow costs of incomplete information and short sales (Q1615799) (← links)
- Equilibrium-based volatility models of the market portfolio rate of return (peacock tails or stotting gazelles) (Q1615808) (← links)
- Ergodicity of scalar stochastic differential equations with Hölder continuous coefficients (Q1615890) (← links)
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility (Q1616790) (← links)
- Dynamics of a planar Coulomb gas (Q1617160) (← links)
- Stochastic string models with continuous semimartingales (Q1618536) (← links)
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis (Q1619987) (← links)
- Volatility smile as relativistic effect (Q1620616) (← links)
- Direct likelihood-based inference for discretely observed stochastic compartmental models of infectious disease (Q1621055) (← links)
- Goodness-of-fit testing for the marginal distribution of regime-switching models with an application to electricity spot prices (Q1621243) (← links)
- Pricing long-lived securities in dynamic endowment economies (Q1622391) (← links)
- Efficient importance sampling in mixture frameworks (Q1623542) (← links)
- Equilibrium variance risk premium in a cost-free production economy (Q1624128) (← links)
- Pricing CIR yield options by conditional moment matching (Q1627807) (← links)
- On the non-Lipschitz stochastic differential equations driven by fractional Brownian motion (Q1627970) (← links)
- An exact minimum variance filter for a class of discrete time systems with random parameter perturbations (Q1630177) (← links)
- The risk-neutral stochastic volatility in interest rate models with jump-diffusion processes (Q1631415) (← links)
- A Gaussian radial basis function-finite difference technique to simulate the HCIR equation (Q1631428) (← links)
- Cointegration analysis with state space models (Q1633206) (← links)
- A Shannon wavelet method for pricing foreign exchange options under the Heston multi-factor CIR model (Q1633313) (← links)
- Necessary and sufficient conditions for ergodicity of CIR model driven by stable processes with Markov switching (Q1634887) (← links)
- A dimension reduction Shannon-wavelet based method for option pricing (Q1635866) (← links)
- Fractional Cox-Ingersoll-Ross process with non-zero ``mean'' (Q1641938) (← links)
- On backward Kolmogorov equation related to CIR process (Q1641940) (← links)
- The moments of a diffusion process (Q1642244) (← links)
- Least squares estimation for the drift parameters in the sub-fractional Vasicek processes (Q1643803) (← links)
- Asymptotic behavior of maximum likelihood estimators for a jump-type Heston model (Q1644436) (← links)
- Volatility risk and economic welfare (Q1655506) (← links)
- Optimal portfolio and consumption rule with a CIR model under HARA utility (Q1655923) (← links)
- Leveraged investments and agency conflicts when cash flows are mean reverting (Q1656786) (← links)
- Dynamic derivative strategies with stochastic interest rates and model uncertainty (Q1657151) (← links)
- Evaluation of counterparty risk for derivatives with early-exercise features (Q1657201) (← links)
- Polynomial chaos expansion approach to interest rate models (Q1657904) (← links)
- Approximating explicitly the mean-reverting CEV process (Q1657909) (← links)
- Parameter estimation in mean reversion processes with deterministic long-term trend (Q1658013) (← links)
- Predicting the yield curve using forecast combinations (Q1659103) (← links)
- On volatility swaps for stock market forecast: application example CAC 40 French Index (Q1667389) (← links)
- Quantitative assessment of common practice procedures in the fair evaluation of embedded options in insurance contracts (Q1667420) (← links)
- Interpreting volatility shocks as preference shocks (Q1668653) (← links)
- Exploiting fast-variables to understand population dynamics and evolution (Q1668951) (← links)
