Pages that link to "Item:Q2856469"

The following pages link to A theory of the term structure of interest rates (Q2856469):

Displaying 50 items.

• A simple measure for examining the proxy problem of the short-rate (Q841846) (← links)
• Term structure of interest rates under recursive preferences in continuous time (Q842835) (← links)
• On deposit volumes and the valuation of non-maturing liabilities (Q844606) (← links)
• Determining the term structure of interest rates (Q845543) (← links)
• A damped diffusion framework for financial modeling and closed-form maximum likelihood estimation (Q846506) (← links)
• Multi-layer model of correlated energy prices (Q847241) (← links)
• A partially linearized sigma point filter for latent state estimation in nonlinear time series models (Q847249) (← 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)
• Intraday empirical analysis and modeling of diversified world stock indices (Q853868) (← links)
• Computable infinite-dimensional filters with applications to discretized diffusion processes (Q855688) (← links)
• Generating integrable one dimensional driftless diffusions (Q857067) (← links)
• Evaluating the performance of Gompertz, Makeham and Lee-Carter mortality models for risk management with unit-linked contracts (Q860503) (← links)
• Inference methods for discretely observed continuous-time stochastic volatility models: A commented overview (Q862564) (← links)
• Polynomial algorithms for pricing path-dependent interest rate instruments (Q862839) (← links)
• Spectral method for differential equations of degenerate type on unbounded domains by using generalized Laguerre functions (Q875530) (← links)
• The influence of a power law drift on the exit time of Brownian motion from a half-line (Q877724) (← links)
• Approximations of Euler-Maruyama type for stochastic differential equations with Markovian switching, under non-Lipschitz conditions (Q885945) (← links)
• Pricing model for zero coupon bonds driven by Bessel-squared interest processes with a jump (Q886317) (← links)
• Quasi-likelihood estimation of a threshold diffusion process (Q888343) (← 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)
• Prepayment risk on callable bonds: theory and test (Q894203) (← links)
• 3D extreme value analysis for stock return, interest rate and speed of mean reversion (Q896795) (← 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)
• Information theory for maximum likelihood estimation of diffusion models (Q898589) (← links)
• Practical estimation of high dimensional stochastic differential mixed-effects models (Q901512) (← links)
• Pricing forward-start variance swaps with stochastic volatility (Q902796) (← links)
• Valuation of endowment-insurance equity-linked contracts for stocks with exotic dynamics (Q904606) (← links)
• Higher order sigma point filter: a new heuristic for nonlinear time series filtering (Q905348) (← links)
• On the convergence of projected triangular decomposition methods for pricing American options with stochastic volatility (Q907564) (← links)
• Pricing American put option on zero-coupon bond in a jump-extended CIR model (Q907607) (← links)
• The consumption-based determinants of the term structure of discount rates (Q926389) (← links)
• Reduced-form models with regime switching: An empirical analysis for corporate bonds (Q928173) (← links)
• Yield curve shapes and the asymptotic short rate distribution in affine one-factor models (Q928499) (← links)
• Estimation of stochastic volatility with LRD (Q929714) (← links)
• Maximum empirical likelihood estimation of continuous-time models with conditional characteristic functions (Q929715) (← links)
• Stochastic optimal control of DC pension funds (Q931216) (← links)
• Euler-Maruyama approximations in mean-reverting stochastic volatility model under regime-switching (Q937465) (← links)
• On changes of measure in stochastic volatility models (Q937484) (← links)
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (Q938030) (← links)
• The role of longevity bonds in optimal portfolios (Q939371) (← links)
• A model of discontinuous interest rate behavior, yield curves, and volatility (Q941729) (← links)
• Discount curve construction with tension splines (Q941730) (← links)
• A note on testing for nonstationarity in autoregressive processes with level dependent conditional heteroskedasticity (Q946272) (← links)
• A highly sensitive mean-reverting process in finance and the Euler-Maruyama approximations (Q947594) (← links)
• Understanding saving and portfolio choices with predictable changes in assets returns (Q949649) (← links)