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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
the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward … volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework … we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent …
Persistent link: https://www.econbiz.de/10001664233
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Bond markets where prices are driven by a general marked point process
Björk, Tomas; Kabanov, Jurij M.; Runggaldier, Wolfgang J. - 1995
Persistent link: https://www.econbiz.de/10000928616
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A note on the pricing of real estate index linked swaps
Björk, Tomas (contributor); Clapham, Eric (contributor) - 2002 - [Elektronische Ressource]
In this paper we discuss the pricing of commercial real estate index linked swaps (CREILS). This particular pricing problem has been studied by Buttimer et al. (1997) in a previous paper. We show that their results are only approximately correct and that the true theoretical price of the swap is...
Persistent link: https://www.econbiz.de/10001645586
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Monetary policy and bond option pricing in an analytical RBC model
Söderlind, Paul (contributor) - 2001 - [Elektronische Ressource], Rev. January 3, 2003
This paper analyzes how bond option prices are affected by different types of monetary policy. Analytical results from a general equilibrium model with sticky wages show that employment or output targeting typically give lower bond option prices than inflation targeting. -- inflation targeting ;...
Persistent link: https://www.econbiz.de/10001600072
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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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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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Monetary policy and market interest rates
Ellingsen, Tore; Söderström, Ulf - 1998
Persistent link: https://www.econbiz.de/10000987479
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Demand and distance : evidence on cross-border shopping
Asplund, Marcus (contributor); Friberg, Richard (contributor) - 2005 - [Elektronische Ressource]
While many studies have documented deviations from the Law of One Price in international settings, evidence is scarce on the extent to which consumers take advantage of price differentials and engage in cross border shopping. We use data from 287 Swedish municipalities to estimate how responsive...
Persistent link: https://www.econbiz.de/10002609537