Pages that link to "Item:Q4226871"
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The following pages link to A YIELD‐FACTOR MODEL OF INTEREST RATES (Q4226871):
Displaying 30 items.
- State Price Density, Esscher Transforms, and Pricing Options on Stocks, Bonds, and Foreign Exchange Rates (Q5718223) (← links)
- Term Structure Models: A Perspective from the Long Rate (Q5718383) (← links)
- Affine Variance Swap Curve Models (Q5746533) (← links)
- A multifactor transformed diffusion model with applications to VIX and VIX futures (Q5860975) (← links)
- Pricing the Excess Volatility in Foreign Exchange Risk Premium and Forward Rate Bias (Q5879349) (← links)
- Time to build and bond risk premia (Q5918628) (← links)
- Time to build and bond risk premia (Q5919142) (← links)
- On the form and risk-sensitivity of zero coupon bonds for a class of interest rate models (Q5938030) (← links)
- Estimation of affine asset pricing models using the empirical characteristic function (Q5939360) (← links)
- Affine term structure models: A time‐change approach with perfect fit to market curves (Q6054424) (← links)
- Utility maximization in a stochastic affine interest rate and CIR risk premium framework: a BSDE approach (Q6098178) (← links)
- Defined contribution pension planning with the return of premiums clauses and HARA preference in stochastic environments (Q6100430) (← links)
- Noncausal affine processes with applications to derivative pricing (Q6146675) (← links)
- Pricing swaptions and zero-coupon futures options under the discrete-time arbitrage-free Nelson-Siegel model (Q6154215) (← links)
- Asymmetric short-rate model without lower bound (Q6158399) (← links)
- Pricing guaranteed annuity options in a linear-rational Wishart mortality model (Q6199669) (← links)
- Risks and risk premia in the US Treasury market (Q6556142) (← links)
- Bonds, currencies and expectational errors (Q6556145) (← links)
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models (Q6573815) (← links)
- Time series of functional data with application to yield curves (Q6574610) (← links)
- A static replication approach for callable interest rate derivatives: mathematical foundations and efficient estimation of SIMM–MVA (Q6576883) (← links)
- Consistent curves in the -world: optimal bonds portfolio (Q6592289) (← links)
- An affine model for short rates when monetary policy is path dependent (Q6594916) (← links)
- Enhancing Estimation for Interest Rate Diffusion Models With Bond Prices (Q6616626) (← links)
- Tests for Jumps in Yield Spreads (Q6626261) (← links)
- Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths (Q6635299) (← links)
- Estimation, Comparison, and Projection of Multifactor Age–Cohort Affine Mortality Models (Q6640252) (← links)
- Age-dependent robust strategic asset allocation with inflation-deflation hedging demand (Q6655910) (← links)
- Estimating option pricing models using a characteristic function-based linear state space representation (Q6664638) (← links)
- Optimal defined-contribution pension management with financial and mortality risks (Q6668688) (← links)
