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.
- Libor market model under the real-world measure (Q2842538) (← links)
- Arbitrage-free multifactor term structure models: a theory based on stochastic control (Q2851559) (← links)
- A theory of the term structure of interest rates (Q2856469) (← links)
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results (Q2878817) (← links)
- An Affine Two-Factor Heteroskedastic Macro-Finance Term Structure Model (Q2889591) (← links)
- Term structure movements implicit in Asian option prices (Q2893078) (← links)
- Affine Diffusions with Non-Canonical State Space (Q2905356) (← links)
- Pricing swaptions under multifactor Gaussian HJM models (Q2927950) (← links)
- Swaption pricing in affine and other models (Q2927951) (← links)
- A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework (Q3005810) (← links)
- REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION (Q3005960) (← links)
- Stochastic differential portfolio games with Duffie‐Kan interest rate (Q3019246) (← links)
- A FINITE-DIMENSIONAL HJM MODEL: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION? (Q3067162) (← links)
- Analysis of Multifactor Affine Yield Curve Models (Q3069869) (← links)
- BILINEAR TERM STRUCTURE MODEL (Q3069955) (← links)
- DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE (Q3084600) (← links)
- EXPLICIT COMPUTATIONS FOR A FILTERING PROBLEM WITH POINT PROCESS OBSERVATIONS WITH APPLICATIONS TO CREDIT RISK (Q3100886) (← links)
- HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS (Q3100994) (← links)
- Interest Rate Derivatives Pricing with Volatility Smile (Q3112457) (← links)
- Unspanned Stochastic Volatility in Affine Models: Evidence from Eurodollar Futures and Options (Q3117847) (← links)
- FACTOR MODELS OF DOMESTIC AND FOREIGN INTEREST RATES WITH STOCHASTIC VOLATILITIES (Q3126232) (← links)
- Optimal Mortgage Prepayment Under the Cox--Ingersoll--Ross Model (Q3188154) (← links)
- TESTING FOR THE MARKOV PROPERTY IN TIME SERIES (Q3224040) (← links)
- A Dynamic Network Model of Interbank Lending—Systemic Risk and Liquidity Provisioning (Q3387916) (← links)
- On Markov‐modulated Exponential‐affine Bond Price Formulae (Q3395727) (← links)
- Arbitrary Initial Term Structure within the CIR Model: A Perturbative Solution (Q3424331) (← links)
- The fair value of guaranteed annuity options (Q3440844) (← links)
- A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869) (← links)
- A Vasicek-Type Short Rate Model With Memory Effect (Q3459230) (← links)
- A NONPARAMETRIC ESTIMATOR FOR THE COVARIANCE FUNCTION OF FUNCTIONAL DATA (Q3465607) (← links)
- LINEAR‐QUADRATIC JUMP‐DIFFUSION MODELING (Q3502166) (← links)
- FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL (Q3523588) (← links)
- A multifactor volatility Heston model (Q3539544) (← links)
- Factors' correlation in the Heath-Jarrow-Morton interest rate model (Q3552635) (← links)
- REWEIGHTED FUNCTIONAL ESTIMATION OF DIFFUSION MODELS (Q3557551) (← links)
- Applications of Gram–Charlier expansion and bond moments for pricing of interest rates and credit risk (Q3577152) (← links)
- CHARACTERISTIC FUNCTION–BASED TESTING FOR MULTIFACTOR CONTINUOUS-TIME MARKOV MODELS VIA NONPARAMETRIC REGRESSION (Q3580636) (← links)
- Bond pricing when the short-term interest rate follows a threshold process (Q3605240) (← links)
- A multi-quality model of interest rates (Q3623404) (← links)
- Pricing Death: Frameworks for the Valuation and Securitization of Mortality Risk (Q3632862) (← links)
- An arbitrage‐free generalized Nelson–Siegel term structure model (Q3653355) (← links)
- A MULTIFACTOR GAUSS MARKOV IMPLEMENTATION OF HEATH, JARROW, AND MORTON (Q4372038) (← links)
- SEPARABLE TERM STRUCTURES AND THE MAXIMAL DEGREE PROBLEM (Q4419299) (← links)
- PRICING COUPON-BOND OPTIONS AND SWAPTIONS IN AFFINE TERM STRUCTURE MODELS (Q4419304) (← links)
- DYNAMIC FACTOR MODELS (Q4471130) (← links)
- A square root interest rate model fitting discrete initial term structure data (Q4541596) (← links)
- A numerical PDE approach for pricing callable bonds (Q4541601) (← links)
- A model for interest rates with clustering effects (Q4554210) (← links)
- Bond and option pricing for interest rate model with clustering effects (Q4554475) (← links)
- Pricing bounds and approximations for discrete arithmetic Asian options under time-changed Lévy processes (Q4554509) (← links)
