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Search: subject:"Interest Rate Models"
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Yield curve
24
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ECONIS (ZBW)
26
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1
Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
Palapies, Lars
- In:
Decisions in economics and finance : a journal of …
46
(
2023
)
2
,
pp. 415-460
Persistent link: https://www.econbiz.de/10014443750
Saved in:
2
A Bayesian time-varying autoregressive model for improved short-term and long-term prediction
Berninger, Christoph
;
Stöcker, Almond
;
Rügamer, David
- In:
Journal of forecasting
41
(
2022
)
1
,
pp. 181-200
Persistent link: https://www.econbiz.de/10012796284
Saved in:
3
Treasury option returns and models with unspanned risks
Bakshi, Gurdip S.
;
Crosby, John
;
Gao, Xiaohui
;
Hansen, …
- In:
Journal of financial economics
150
(
2023
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10014462650
Saved in:
4
Um modelo unificado para a previsão da estrutura a termo de taxa de juros
Cassettari, Ailton
;
Chiappin, José R.
- In:
Revista Brasileira de Finanças : RBFin
16
(
2018
)
2
,
pp. 337-369
Persistent link: https://www.econbiz.de/10012125231
Saved in:
5
A unified market model for swaptions and constant maturity swaps
Tee, Chyng Wen
;
Kerkhof, Franciscus Lambertus Johannes
- In:
International journal of theoretical and applied finance
24
(
2021
)
4
,
pp. 1-31
Persistent link: https://www.econbiz.de/10012652680
Saved in:
6
One-dimensional Markov-functional models driven by a non-Gaussian driver
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
The journal of computational finance
23
(
2019
)
3
,
pp. 61-100
Persistent link: https://www.econbiz.de/10012162379
Saved in:
7
Social discounting and the long rate of interest
Brody, Dorje C.
;
Hughston, Lane P.
- In:
Mathematical finance : an international journal of …
28
(
2018
)
1
,
pp. 306-334
Persistent link: https://www.econbiz.de/10011969159
Saved in:
8
Alternative characterization of volatility of short-term interest rate
Bhar, Ramaprasad
;
Lee, Damien
- In:
International journal of financial engineering
5
(
2018
)
2
,
pp. 1-15
Persistent link: https://www.econbiz.de/10011923007
Saved in:
9
Interest rate model comparisons for participating products under Solvency II
Aas, Kjersti
;
Neef, Linda R.
;
Williams, Lloyd
;
Raabe, Dag
- In:
Scandinavian actuarial journal
(
2018
)
3
,
pp. 203-224
Persistent link: https://www.econbiz.de/10011881080
Saved in:
10
Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.
;
Hughston, Lane P.
;
Meier, David M.
- In:
International journal of theoretical and applied finance
21
(
2018
)
3
,
pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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