Pages that link to "Item:Q4226871"
From MaRDI portal
The following pages link to A YIELD‐FACTOR MODEL OF INTEREST RATES (Q4226871):
Displaying 50 items.
- On the asymptotic behavior of the prices of Asian options (Q2372254) (← links)
- Dynamical analysis of corporate bonds based on the yield spread term-quality surface (Q2372255) (← links)
- The role of the dependence between mortality and interest rates when pricing guaranteed annuity options (Q2374113) (← links)
- Linear Gaussian affine term structure models with unobservable factors: Calibration and yield forecasting (Q2378387) (← links)
- A modified arbitrage-free Nelson-Siegel model: an alternative affine term structure model of interest rates (Q2398584) (← links)
- Option pricing when correlations are stochastic: an analytical framework (Q2425554) (← links)
- Temporal aggregation of volatility models (Q2439047) (← links)
- Density approximations for multivariate affine jump-diffusion processes (Q2442452) (← links)
- Pricing European options on deferred annuities (Q2442531) (← links)
- Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices (Q2444649) (← links)
- Optimal asset allocation for DC pension plans under inflation (Q2444718) (← links)
- Consistent dynamic affine mortality models for longevity risk applications (Q2445991) (← links)
- Pricing average options under time-changed Lévy processes (Q2447509) (← links)
- Time-changed CIR default intensities with two-sided mean-reverting jumps (Q2448696) (← links)
- What is the natural scale for a Lévy process in modelling term structure of interest rates? (Q2461277) (← links)
- Arbitrage-free valuation of interest rate securities under forward curves with stochastic speed and acceleration (Q2469854) (← links)
- Forward-backward SDEs and the CIR model (Q2471244) (← links)
- Stochastic Jacobian and Riccati ODE in affine term structure models (Q2477604) (← links)
- Modeling the dynamics of interest rate volatility with skewed fat-tailed distributions (Q2480221) (← links)
- A portfolio-based evaluation of affine term structure models (Q2480223) (← links)
- A filtered no arbitrage model for term structures from noisy data (Q2485832) (← links)
- Pricing of defaultable bonds with log-normal spread: development of the model and an application to Argentinean and Brazilian bonds during the Argentine crisis (Q2490453) (← links)
- Affine stochastic mortality (Q2507942) (← links)
- An asymptotic analysis of likelihood-based diffusion model selection using high frequency data (Q2512621) (← links)
- Time-consistent mean-variance hedging of longevity risk: effect of cointegration (Q2513456) (← links)
- Pricing range notes within Wishart affine models (Q2513635) (← links)
- Estimating doubly stochastic Poisson process with affine intensities by Kalman filter (Q2516623) (← links)
- Taylor approximation of incomplete Radner equilibrium models (Q2516775) (← links)
- Pricing and hedging of guaranteed minimum benefits under regime-switching and stochastic mortality (Q2520456) (← links)
- Asset allocation strategies in the presence of liability constraints (Q2520460) (← links)
- Consistency conditions for affine term structure models. (Q2574626) (← links)
- A two-factor model for low interest rate regimes (Q2575438) (← links)
- Three-factor interest rate models (Q2583432) (← links)
- A semi-Markov modulated interest rate model (Q2637384) (← links)
- Intertemporal asset allocation when the underlying factors are unobservable (Q2642603) (← links)
- Generalizations of Ho-Lee's binomial interest rate model. I: From one- to multi-factor (Q2643675) (← links)
- A class of asset pricing models governed by subordinate processes that signal economic shocks (Q2654429) (← links)
- Bond pricing formulas for Markov-modulated affine term structure models (Q2666684) (← links)
- A quantum mechanics for interest rate derivatives markets (Q2675519) (← links)
- Term spread regressions of the rational expectations hypothesis of the term structure allowing for risk premium effects (Q2687856) (← links)
- Optimal investment strategies for asset-liability management with affine diffusion factor processes and HARA preferences (Q2691482) (← links)
- Specification analysis in regime-switching continuous-time diffusion models for market volatility (Q2691691) (← links)
- On the role of state variables in interest rates models (Q2744950) (← links)
- The new interest rate models. Recent developments in the theory and application of yield curve dynamics (Q2756620) (← links)
- A theory of the nominal term structure of interest rates. (Q2760396) (← links)
- Credit risk and incomplete information: filtering and EM parameter estimation (Q2786032) (← links)
- Pricing of long dated equity-linked life insurance contracts (Q2804516) (← links)
- Positive eigenfunctions of Markovian pricing operators: Hansen-Scheinkman factorization, Ross recovery, and long-term pricing (Q2806062) (← links)
- Price-admissibility conditions for arbitrage-free linear price function models for the term structure of interest rates (Q2831007) (← links)
- On valuation with stochastic proportional hazard models in finance (Q2841334) (← links)
