Search Results - person:"Au, K.T."

Narrow search

Deposit insurance stochastic interest rates, and the regulation of depository institutions

Au, Kelly T.; Dennis, Steven A.; Thurston, David C. - In: Research in finance 17 (1999), pp. 139-151

Persistent link: https://www.econbiz.de/10001485090

Markovian spot rate dynamics with stochastic volatility structures

Au, Kelly T. - In: Applied mathematical finance 4 (1997) 2, pp. 101-108

Persistent link: https://www.econbiz.de/10001226700

Markovian spot rate dynamics with stochastic volatility structures

Au, K. T.; Sim, A. B.; Thurston, D. C. - In: Applied Mathematical Finance 4 (1997) 2, pp. 101-108

Recent studies of bond pricing dynamics and stochastic term structure models have focused on Markovian spot rate processes with deterministic volatilities. In this paper we provide and extension to allow for stochastic volatility functions and investigate conditions under which the dynamics of...

Persistent link: https://www.econbiz.de/10009279102

Markovian spot rate dynamics with stochastic volatility structures

Au, K.T.; Sim, A.B.; Thurston, D.C. - In: Applied mathematical finance 4 (1997) 2, pp. 101-108

Persistent link: https://www.econbiz.de/10008219568

A new class of duration measures

Au, Kelly T. - In: Economics letters 47 (1995) 3, pp. 371-375

Persistent link: https://www.econbiz.de/10001178199

A new class of duration measures

Au, K.T.; Thurston, D.C. - In: Economics letters 47 (1995) 3-4, pp. 371-376

Persistent link: https://www.econbiz.de/10006799184