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Interest rate theory : CIME lectures 1996
Björk, Tomas - 1996
Persistent link: https://www.econbiz.de/10000953741
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Monetary policy and the fisher effect
Söderlind, Paul - 1997
Persistent link: https://www.econbiz.de/10000958081
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Finite dimensional Markovian realizations for stochastic volatility forward rate models
Björk, Tomas (contributor); Landén, Camilla (contributor);  … - 2002 - [Elektronische Ressource], This version: May 6, 2002
volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … conditions for the existence of a finite dimensional Markovian realizations for the stochastic volatility models. We illustrate … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …
Persistent link: https://www.econbiz.de/10001664233
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Fiscal policy and the yield curve in a small open economy
Lindé, Jesper - 1998
Persistent link: https://www.econbiz.de/10000981018
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A latent factor model of European exchange rate risk premia
Alexius, Annika; Sellin, Peter - 1997
Persistent link: https://www.econbiz.de/10000958083
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A dynamic conditionally heteroscedastic stochastic frontier model
Löthgren, Mickael - 1998
Persistent link: https://www.econbiz.de/10000984774
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Towards a general theory of bond markets
Björk, Tomas; DiMasi, Giovanni; Kabanov, Jurij M.; … - 1996
Persistent link: https://www.econbiz.de/10000955624
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Public debt management and the term structure of interest rates
Paalzow, Anders - 1996
Persistent link: https://www.econbiz.de/10000956014
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General quadratic term structures of bond, futures and forward prices
Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]
For finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other,...
Persistent link: https://www.econbiz.de/10001991041
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Finite dimensional realizations of forward price term structure models
Gaspar, Raquel M. (contributor) - 2004 - [Elektronische Ressource]
use the Lie algebra methodology of Björk et al. to investigate under what conditions on the volatility structure of the …
Persistent link: https://www.econbiz.de/10002450616