Pages that link to "Item:Q5363838"
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The following pages link to An equilibrium characterization of the term structure (Q5363838):
Displaying 50 items.
- A stochastic approach to model housing markets: the US housing market case (Q1735709) (← links)
- Pricing and simulating catastrophe risk bonds in a Markov-dependent environment (Q1738100) (← links)
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation (Q1739353) (← links)
- Unit root testing in the presence of mean reverting jumps: evidence from US T-bond yields (Q1739895) (← links)
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion (Q1740295) (← links)
- Optimal surrender of guaranteed minimum maturity benefits under stochastic volatility and interest rates (Q1742704) (← links)
- Estimation and testing in generalized mean-reverting processes with change-point (Q1744228) (← links)
- A competing risks analysis of the duration of federal target funds rates (Q1762045) (← links)
- Numerical techniques for pricing callable bonds with notice (Q1764750) (← links)
- Tractable forms of the bond pricing equation (Q1764962) (← links)
- Efficient calibration of trinomial trees for one-factor short rate models (Q1774551) (← links)
- The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests (Q1774554) (← links)
- An actuarial approach to reload option valuation for a non-tradable risk assets under jump-diffusion process and stochastic interest rate (Q1782016) (← links)
- The valuation of equity warrants under the fractional Vasicek process of the short-term interest rate (Q1782521) (← links)
- Codifference as a practical tool to measure interdependence (Q1783336) (← links)
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation (Q1797745) (← links)
- International investing in uncertain financial market (Q1800309) (← links)
- Two-factor term structure model with uncertain volatility risk (Q1800343) (← links)
- Pricing of multiple defaultable bond (Q1847632) (← links)
- Time horizon and the discount rate. (Q1867560) (← links)
- Asset pricing in an intertemporal partially-revealing rational expectations equilibrium. (Q1867770) (← links)
- Maximum likelihood estimation of time-inhomogeneous diffusions. (Q1871562) (← links)
- On the term structure of lending interest rates when a fraction of collateral is recovered upon default (Q1880944) (← links)
- Minimum distance estimation and testing for interest rate models (Q1897668) (← links)
- Long memory continuous time models (Q1922361) (← links)
- Robust analysis of default intensity (Q1927110) (← links)
- Bayesian inference in a stochastic volatility Nelson-Siegel model (Q1927156) (← links)
- Information ratio test for model misspecification on parametric structures in stochastic diffusion models (Q1927178) (← links)
- Estimated inflation rate, consumption and portfolio decision (Q1929431) (← links)
- The first passage time and the dividend value function for one-dimensional diffusion processes between two reflecting barriers (Q1929687) (← links)
- Risk measures and behaviors for bonds under stochastic interest rate models (Q1931093) (← links)
- A forward-backward SDE approach to affine models (Q1932521) (← links)
- Valuation of fixed and variable rate mortgages: binomial tree versus analytical approximations (Q1938899) (← links)
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes (Q1939714) (← links)
- Parameter estimation and model testing for Markov processes via conditional characteristic functions (Q1940757) (← links)
- Testing for the Box-Cox parameter for an integrated process (Q1942730) (← links)
- Goodness-of-fit test for interest rate models: an approach based on empirical processes (Q1942884) (← links)
- Uncertain term structure model of interest rate (Q1955463) (← links)
- Optimal investment strategies for DC pension with stochastic salary under the affine interest rate model (Q1956025) (← links)
- Pricing rate of return guarantees in a Heath-Jarrow-Morton framework (Q1974032) (← links)
- Term structure modeling and asymptotic long rate (Q1974033) (← links)
- Inference in a multivariate generalized mean-reverting process with a change-point (Q1984652) (← links)
- Parameter estimation for the discretely observed vasicek model with small fractional Lévy noise (Q1987558) (← links)
- Pricing puttable convertible bonds with integral equation approaches (Q1999664) (← links)
- Numerically pricing convertible bonds under stochastic volatility or stochastic interest rate with an ADI-based predictor-corrector scheme (Q2004605) (← links)
- Approximate maximum likelihood estimation of a threshold diffusion process (Q2008117) (← links)
- Estimating the counterparty risk exposure by using the Brownian motion local time (Q2011920) (← links)
- An investment and consumption problem with CIR interest rate and stochastic volatility (Q2015242) (← links)
- Poissonian subordinators, the Wiener-Ornstein-Uhlenbeck field, and a relation between the Ornstein-Uhlenbeck processes and Brownian bridges (Q2016269) (← links)
- Nonparametric drift estimation for diffusions with jumps driven by a Hawkes process (Q2023465) (← links)
