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~isPartOf:"IMF working paper"
~isPartOf:"Research paper / Quantitative Finance Research Centre, University of Technology Sydney"
~subject:"Zinsstruktur"
~type_genre:"Non-commercial literature"
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Zinsstruktur
Yield curve
60
Theorie
13
Theory
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Stochastischer Prozess
10
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9
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9
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Chiarella, Carl
11
Platen, Eckhard
7
Schlögl, Erik
7
Nikitopoulos, Christina Sklibosios
6
Catão, Luis
2
Chege Maina, Samuel
2
Fanelli, Viviana
2
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Hsiao, Chih-ying
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1
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1
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1
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1
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1
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1
Cavallo, Eduardo A.
1
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1
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1
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1
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1
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IMF working paper
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
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191
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121
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ECONIS (ZBW)
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A consistent stochastic model of the term structure of interest rates for multiple tenors
Alfeus, Mesias
;
Grasselli, Martino
;
Schlögl, Erik
-
2017
Persistent link: https://www.econbiz.de/10011778187
Saved in:
2
Empirical pricing performance in long-dated crude oil derivatives : do models with stochastic interest rates matter?
Cheng, Benjamin
;
Nikitopoulos, Christina Sklibosios
; …
-
2016
Persistent link: https://www.econbiz.de/10011777909
Saved in:
3
Calibrating a market model to commodity and interest rate risk
Karlsson, Patrik
;
Pilz, Kay Frederik
;
Schlögl, Erik
-
2016
Persistent link: https://www.econbiz.de/10011778017
Saved in:
4
Application of maximum likelihood estimation to stochastic short rate models
Fergusson, Kevin
;
Platen, Eckhard
-
2015
Persistent link: https://www.econbiz.de/10011344233
Saved in:
5
Stylised properties of the interest rate term structure under the benchmark approach
Fergusson, Kevin
;
Platen, Eckhard
-
2014
Persistent link: https://www.econbiz.de/10011344800
Saved in:
6
A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang
;
Schlögl, Erik
-
2014
Persistent link: https://www.econbiz.de/10011344803
Saved in:
7
Alternative term structure models for reviewing expectations puzzles
Nikitopoulos, Christina Sklibosios
;
Platen, Eckhard
-
2012
Persistent link: https://www.econbiz.de/10009564459
Saved in:
8
Pricing interest rate derivatives in a multifactor HJM model with time dependent volatility
Beyna, Ingo
;
Chiarella, Carl
;
Kang, Boda
-
2012
Persistent link: https://www.econbiz.de/10009632002
Saved in:
9
Stochastic correlation and risk premia in term structure models
Chiarella, Carl
;
Hsiao, Chih-ying
;
To, Thuy-duong
-
2011
Persistent link: https://www.econbiz.de/10009564612
Saved in:
10
Credit derivative pricing with stochastic volatility models
Chiarella, Carl
;
Chege Maina, Samuel
;
Nikitopoulos, …
-
2011
Persistent link: https://www.econbiz.de/10009564618
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