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.
- What drives short rate dynamics? A functional gradient descent approach (Q429537) (← links)
- Conserved quantities for a class of \((1 + n)\)-dimensional linear evolution equation (Q434827) (← links)
- Long-term and blow-up behaviors of exponential moments in multi-dimensional affine diffusions (Q436302) (← links)
- ANOVA for diffusions and Itō processes (Q449957) (← links)
- On the approximate maximum likelihood estimation for diffusion processes (Q449968) (← links)
- The Bickel-Rosenblatt test for continuous time stochastic volatility models (Q464450) (← links)
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices (Q470605) (← links)
- Robust portfolio choice with stochastic interest rates (Q470730) (← links)
- Asymptotically distribution-free tests for the volatility function of a diffusion (Q473355) (← links)
- The impact of quantitative easing on the US term structure of interest rates (Q475332) (← links)
- Portfolio management with stochastic interest rates and inflation ambiguity (Q481372) (← links)
- Estimation of risk-neutral processes in single-factor jump-diffusion interest rate models (Q491007) (← links)
- Explicit form of approximate transition probability density functions of diffusion processes (Q494367) (← links)
- Pricing guaranteed minimum/lifetime withdrawal benefits with various provisions under investment, interest rate and mortality risks (Q495504) (← links)
- Optimal debt ratio and consumption strategies in financial crisis (Q495747) (← links)
- Asymptotic theory for linear diffusions under alternative sampling schemes (Q498845) (← links)
- Prediction bias correction for dynamic term structure models (Q500507) (← links)
- Stability of the filter with Poisson observations (Q500868) (← links)
- Intensity-based framework for surrender modeling in life insurance (Q506089) (← links)
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform (Q506093) (← links)
- The challenge in managing new financial risks: adopting an heuristic or theoretical approach (Q513101) (← links)
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition (Q525145) (← links)
- Identification and estimation of Gaussian affine term structure models (Q527947) (← links)
- Bias in the estimation of the mean reversion parameter in continuous time models (Q527981) (← links)
- Stationarity-based specification tests for diffusions when the process is nonstationary (Q528006) (← links)
- Estimation of semiparametric locally stationary diffusion models (Q528037) (← links)
- Testing whether the underlying continuous-time process follows a diffusion: an infinitesimal operator-based approach (Q528171) (← links)
- Bias in the estimation of mean reversion in continuous-time Lévy processes (Q529799) (← links)
- Bias in estimating multivariate and univariate diffusions (Q530603) (← links)
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models (Q530941) (← links)
- A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
- Discrete time Wishart term structure models (Q543795) (← links)
- On the construction and complexity of the bivariate lattice with stochastic interest rate models (Q552270) (← links)
- Term structure of interest rates: The martingale approach (Q583070) (← links)
- Interest rate risk premium and equity valuation (Q601065) (← links)
- Nonparametric tests of the Markov hypothesis in continuous-time models (Q605941) (← links)
- A Markov regime-switching marked point process for short-rate analysis with credit risk (Q611051) (← links)
- Pricing caps with HJM models: the benefits of humped volatility (Q613457) (← links)
- A spectral element approximation to price European options with one asset and stochastic volatility (Q618530) (← links)
- Affine Nelson-Siegel model (Q621711) (← links)
- On large deviations in testing Ornstein-Uhlenbeck-type models (Q623480) (← links)
- Computational aspects of continuous-discrete extended Kalman-filtering (Q626232) (← links)
- Numerical evaluation of dynamic behavior of Ornstein-Uhlenbeck processes modified by various boundaries and its application to pricing barrier options (Q631490) (← links)
- Valuation of portfolio credit derivatives with default intensities using the Vasicek model (Q633823) (← links)
- Exponential change of measure applied to term structures of interest rates and exchange rates (Q634008) (← links)
- An academic view on the illiquidity premium and market-consistent valuation in insurance (Q635983) (← links)
- Some results on correlation matrices for interest rates (Q637511) (← links)
- Portfolio theory of optimal isometric force production: variability predictions and nonequilibrium fluctuation-dissipation theorem (Q637817) (← links)
- Pricing catastrophe swaps: a contingent claims approach (Q654831) (← links)
- A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
