Pages that link to "Item:Q5363838"

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

Displaying 50 items.

• Development of computational algorithms for pricing European bond options under the influence of macro-economic conditions (Q903027) (← links)
• Assessing inflation risk in non-life insurance (Q903336) (← links)
• Pricing American put option on zero-coupon bond in a jump-extended CIR model (Q907607) (← links)
• Multi-period asset allocation by stochastic dynamic programming (Q924425) (← links)
• Invariance properties of a general bond-pricing equation (Q925045) (← links)
• The consumption-based determinants of the term structure of discount rates (Q926389) (← links)
• A note on the central limit theorem for bipower variation of general functions (Q927926) (← links)
• Convexity theory for the term structure equation (Q928497) (← 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)
• Static super-replicating strategies for a class of exotic options (Q931201) (← links)
• Stochastic optimal control of DC pension funds (Q931216) (← links)
• Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment (Q938030) (← links)
• Pension fund investments and the valuation of liabilities under conditional indexation (Q939321) (← links)
• The role of longevity bonds in optimal portfolios (Q939371) (← links)
• Analysis of exercise boundary of American interest rate option (Q940588) (← links)
• A model of discontinuous interest rate behavior, yield curves, and volatility (Q941729) (← 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)
• Two-factor convertible bonds valuation using the method of characteristics/finite elements (Q951392) (← links)
• Solutions of two-factor models with variable interest rates (Q952075) (← links)
• Optimal investment decisions when time-horizon is uncertain (Q952683) (← links)
• Importance sampling for integrated market and credit portfolio models (Q953448) (← links)
• Interest rate option pricing and volatility forecasting: an application to Brazil (Q953623) (← links)
• Exchange rates and interest rates: can term structure models explain currency movements? (Q953668) (← links)
• Optimal design of the guarantee for defined contribution funds (Q953713) (← links)
• Wicksellian theory of forest rotation under interest rate variability (Q953760) (← links)
• Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans (Q956531) (← links)
• Approximating volatility diffusions with CEV-ARCH models (Q956536) (← links)
• Moments of the first passage time of one-dimensional diffusion with two-sided barriers (Q958974) (← links)
• A bootstrap test for the comparison of nonlinear time series (Q961279) (← links)
• Using subspace algorithm cointegration analysis: simulation performance and application to the term structure (Q961388) (← links)
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach (Q961403) (← links)
• Pricing model of interest rate swap with a bilateral default risk (Q964973) (← links)
• The valuation of convertible bonds with numeraire changes (Q966534) (← links)
• Parametric and nonparametric models and methods in financial econometrics (Q975560) (← links)
• Optimal risk management in defined benefit stochastic pension funds (Q977156) (← links)
• Bond pricing under a Markovian regime-switching jump-augmented vasicek model via stochastic flows (Q984362) (← links)
• Simultaneous nonparametric inference of time series (Q988010) (← links)
• Predictability and unpredictability in financial markets (Q992162) (← links)
• Valuation of cash flows under random rates of interest: a linear algebraic approach (Q997086) (← links)
• A model of the term structure of interest rates for an economically dependent country (Q1000358) (← links)
• An implementation of the HJM model with application to Japanese interest futures (Q1000404) (← links)
• A preference free partial differential equation for the term structure of interest rates (Q1000411) (← links)
• A statistical comparison of the short-term interest rate models for Japan, U.S., and Germany (Q1000416) (← links)
• Goodness-of-fit tests for Markovian time series models: central limit theory and bootstrap approximations (Q1002573) (← links)
• A numerical method to price European derivatives based on the one factor LIBOR market model of interest rates (Q1003544) (← links)
• Analytical valuation of catastrophe equity options with negative exponential jumps (Q1003818) (← links)
• An efficient ex-ante criterion for ranking investment strategies (Q1015807) (← links)
• Investment under uncertainty -- does competition matter? (Q1017017) (← links)