Pages that link to "Item:Q5363838"

The following pages link to An equilibrium characterization of the term structure (Q5363838):

Displaying 50 items.

• Is the home equity conversion mortgage in the United States sustainable? Evidence from pricing mortgage insurance premiums and non-recourse provisions using the conditional Esscher transform (Q659238) (← links)
• American options and callable bonds under stochastic interest rates and endogenous bankruptcy (Q660162) (← links)
• A linear algebraic method for pricing temporary life annuities and insurance policies (Q661219) (← links)
• Catastrophe risk management with counterparty risk using alternative instruments (Q661243) (← links)
• A semi-analytic method for valuing high-dimensional options on the maximum and minimum of multiple assets (Q665717) (← links)
• Consistency conditions for affine term structure models II. Option pricing under diffusions with embdded jumps (Q665718) (← links)
• New no-arbitrage conditions and the term structure of interest rate futures (Q665727) (← links)
• On the equivalence of a class of affine term structure models (Q666298) (← links)
• Mean percentage of returns for stock market linked savings accounts (Q668589) (← links)
• Sequential testing of hypotheses about drift for Gaussian diffusions (Q670162) (← links)
• An analytically tractable model for pricing multiasset options with correlated jump-diffusion equity processes and a two-factor stochastic yield curve (Q670282) (← links)
• Numerical treatment of an asset price model with non-stochastic uncertainty. (With comments and rejoinder). (Q699507) (← links)
• On a stochastic heat equation with first order fractional noises and applications to finance (Q714080) (← links)
• Functional dynamic factor models with application to yield curve forecasting (Q714342) (← links)
• Asian option as a fixed-point (Q721236) (← links)
• Risk measures versus ruin theory for the calculation of solvency capital for long-term life insurances (Q727663) (← links)
• Intelligible factors for the yield curve (Q736543) (← links)
• A martingale approach for testing diffusion models based on infinitesimal operator (Q737898) (← links)
• Nonparametric model validations for hidden Markov models with applications in financial econometrics (Q737900) (← links)
• The affine arbitrage-free class of Nelson-Siegel term structure models (Q737987) (← links)
• Generalized spectral testing for multivariate continuous-time models (Q738028) (← links)
• Valuing risky debt: a new model combining structural information with the reduced-form approach (Q743165) (← links)
• Bayesian diffusion process models with time-varying parameters (Q744748) (← links)
• Existence of limiting distribution for affine processes (Q777128) (← links)
• Likelihood-based estimation of a semiparametric time-dependent jump diffusion model of the short-term interest rate (Q782628) (← links)
• An approximation of caplet implied volatilities in Gaussian models (Q816447) (← links)
• A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
• Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
• A measure to analyse the interaction of contracts in a heterogeneous life insurance portfolio (Q825289) (← links)
• Estimation and inference in the yield curve model with an instantaneous error term (Q834330) (← links)
• Bipower-type estimation in a noisy diffusion setting (Q841480) (← links)
• A factor allocation approach to optimal bond portfolio (Q841841) (← links)
• A simple measure for examining the proxy problem of the short-rate (Q841846) (← links)
• On deposit volumes and the valuation of non-maturing liabilities (Q844606) (← links)
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation (Q846506) (← links)
• Continuous time one-dimensional asset-pricing models with analytic price-dividend functions (Q847865) (← links)
• Valuation and hedging of life insurance liabilities with systematic mortality risk (Q849589) (← links)
• Estimating the term structure of interest rates using penalized splines (Q849872) (← links)
• Correlation matrices of yields and total positivity (Q855558) (← links)
• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts (Q860503) (← links)
• Polynomial algorithms for pricing path-dependent interest rate instruments (Q862839) (← links)
• An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates (Q882461) (← links)
• Quasi-likelihood estimation of a threshold diffusion process (Q888343) (← links)
• Markov control models with unknown random state-action-dependent discount factors (Q889107) (← links)
• Discretely monitored first passage problems and barrier options: an eigenfunction expansion approach (Q889625) (← links)
• Legendre transform-dual solution for investment and consumption problem under the Vasicek model (Q890628) (← links)
• An efficient algorithm based on eigenfunction expansions for some optimal timing problems in finance (Q893128) (← links)
• A new finite difference method for pricing and hedging fixed income derivatives: comparative analysis and the case of an Asian option (Q896802) (← links)
• Long memory affine term structure models (Q898585) (← links)
• Optimal investment in multidimensional Markov-modulated affine models (Q902185) (← links)