Pages that link to "Item:Q4226871"

The following pages link to A YIELD‐FACTOR MODEL OF INTEREST RATES (Q4226871):

Displaying 50 items.

• Affine processes for dynamic mortality and actuarial valuations (Q817280) (← links)
• Multi-layer model of correlated energy prices (Q847241) (← links)
• Continuous time one-dimensional asset-pricing models with analytic price-dividend functions (Q847865) (← links)
• Currency crises and the term structure of interest rates (Q850632) (← links)
• The multifactor nature of the volatility of futures markets (Q853577) (← links)
• The impact of short-sale constraints on asset allocation strategies via the backward Markov chain approximation method (Q857737) (← links)
• A bidimensional approach to mortality risk (Q882489) (← links)
• Long memory affine term structure models (Q898585) (← links)
• Pricing a guaranteed annuity option under correlated and regime-switching risk factors (Q903675) (← links)
• Reduced-form models with regime switching: An empirical analysis for corporate bonds (Q928173) (← links)
• Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions (Q929715) (← links)
• Static super-replicating strategies for a class of exotic options (Q931201) (← links)
• Quadratic stochastic intensity and prospective mortality tables (Q938051) (← links)
• A model of discontinuous interest rate behavior, yield curves, and volatility (Q941729) (← links)
• Approaches to forecasting volatility: Models and their performances for emerging equity markets (Q943161) (← links)
• Exchange rates and interest rates: can term structure models explain currency movements? (Q953668) (← links)
• What does the market price of risk tell us in the single factor interest rate model? (Q955853) (← links)
• Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach (Q961403) (← links)
• Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
• Optimal portfolios with regime switching and value-at-risk constraint (Q976262) (← links)
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362) (← links)
• Macroeconomic models and the yield curve: an assessment of the fit (Q991391) (← links)
• Likelihood-based inference for a class of multivariate diffusions with unobserved paths (Q997298) (← links)
• A preference free partial differential equation for the term structure of interest rates (Q1000411) (← links)
• Econometric analysis of a continuous time multi-factor generalized Vasicek term structure model: International evidence (Q1000460) (← links)
• Analytical approximations for prices of swap rate dependent embedded options in insurance products (Q1003826) (← links)
• A dynamic programming approach for pricing options embedded in bonds (Q1027361) (← links)
• Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates (Q1044157) (← links)
• Multi-factor affine term structure model with single regime shift: Real term structure under zero interest rate (Q1044238) (← links)
• Path dependent options on yields in the affine term structure model (Q1265769) (← links)
• Zero coupon bonds and affine term structures: Reconsidering the one-factor model (Q1276461) (← links)
• On a general class of one-factor models for the term structure of interest rates (Q1367942) (← links)
• Asset allocation with time variation in expected returns (Q1381452) (← links)
• The term structure of interest rates in the economic and monetary union (Q1397051) (← links)
• Purebred or hybrid?: Reproducing the volatility in term structure dynamics. (Q1398977) (← links)
• Spectral GMM estimation of continuous-time processes (Q1398981) (← links)
• Conditional Gaussian models of the term structure of interest rates (Q1409833) (← links)
• Direct estimation of the risk neutral factor dynamics of Gaussian term structure models (Q1410572) (← links)
• Optimal investment strategies in the presence of a minimum guarantee. (Q1413348) (← links)
• Moment generating function approach to pricing interest rate and foreign exchange rate claims. (Q1413350) (← links)
• Random step functions model for interest rates (Q1424709) (← links)
• Affine processes and applications in finance (Q1425484) (← links)
• Consistent fitting of one-factor models to interest rate data. (Q1584583) (← links)
• The Riccati equation in mathematical finance. (Q1599553) (← links)
• Short rate nonlinearities and regime switches. (Q1605421) (← links)
• A four-factor stochastic volatility model of commodity prices (Q1621624) (← links)
• Portfolio management with benchmark related incentives under mean reverting processes (Q1621923) (← links)
• A theory of intermediated investment with hyperbolic discounting investors (Q1622351) (← links)
• Valuing catastrophe bonds involving correlation and CIR interest rate model (Q1655383) (← links)