Pages that link to "Item:Q1421716"

The following pages link to Finite dimensional affine realisations of HJM models in terms of forward rates and yields (Q1421716):

Displaying 21 items.

• An explicitly solvable Heston model with stochastic interest rate (Q320946) (← links)
• On pricing kernels and finite-state variable Heath Jarrow Morton models (Q375245) (← links)
• Shape factors and cross-sectional risk (Q609842) (← links)
• Pricing caps with HJM models: the benefits of humped volatility (Q613457) (← links)
• Fast resolution of a single factor Heath-Jarrow-Morton model with stochastic volatility (Q654788) (← links)
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\) (Q722068) (← links)
• A class of jump-diffusion bond pricing models within the HJM framework (Q816765) (← links)
• Existence of Lévy term structure models (Q928496) (← links)
• The volatility structure of the fixed income market under the HJM framework: a nonlinear filtering approach (Q961403) (← links)
• An implementation of the HJM model with application to Japanese interest futures (Q1000404) (← links)
• From bond yield to macroeconomic instability: a parsimonious affine model (Q1683157) (← links)
• Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective (Q2189908) (← links)
• The volatility of the instantaneous spot interest rate implied by arbitrage pricing -- a dynamic Bayesian approach (Q2507934) (← links)
• Analytical pricing of American put options on a zero coupon bond in the Heath-Jarrow-Morton model (Q2512852) (← links)
• Credit derivatives pricing with stochastic volatility models (Q2842532) (← links)
• An alternative approach on the existence of affine realizations for HJM term structure models (Q2997301) (← links)
• A MARKOVIAN DEFAULTABLE TERM STRUCTURE MODEL WITH STATE DEPENDENT VOLATILITIES (Q3444869) (← links)
• RECURSIVE BAYESIAN ESTIMATION IN FORWARD PRICE MODELS IMPLIED BY FAIR PRICING (Q3564996) (← links)
• (Q4218387) (← links)
• Pricing forward-start options in the HJM framework; evidence from the Polish market (Q4548945) (← links)
• ON FINITE DIMENSIONAL REALIZATIONS FOR THE TERM STRUCTURE OF FUTURES PRICES (Q5483440) (← links)