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Adding and subtracting black-scholes : a new approach to approximating derivative prices in continuous time models
Kristensen, Dennis; Mele, Antonio - 2009
Persistent link: https://www.econbiz.de/10003849531
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Stochastic volatility
Andersen, Torben; Benzoni, Luca - 2010
Persistent link: https://www.econbiz.de/10003937010
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Affine bond pricing with a mixture distribution for interest rate time-series dynamics
Rasmussen, Torben B - 2010
Persistent link: https://www.econbiz.de/10003939417
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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper; Wel, Michael van der - 2010
Persistent link: https://www.econbiz.de/10003947812
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Nonlinear Kalman filtering in affine term structure models
Christoffersen, Peter F.; Dorion, Christian; Jacobs, Kris; … - 2012
Persistent link: https://www.econbiz.de/10009667381
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Long and short memory in dynamic term structure models
Huseynov, Salman - 2021 - This version: 3 December 2021
Persistent link: https://www.econbiz.de/10012815974
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Explaining bond return predictability in an estimated New Keynesian model
Andreasen, Martin Møller - 2019
Persistent link: https://www.econbiz.de/10012063989
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Modelling and estimating large macroeconomic shocks during the pandemic
Corrado, Luisa; Grassi, Stefano; Paolillo, Aldo - 2021
Persistent link: https://www.econbiz.de/10012620771
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Interest rate convergence in the EMS prior to European Monetary Union
Frömmel, Michael; Kruse, Robinson - 2009
Persistent link: https://www.econbiz.de/10003849559
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Efficient and accurate log-Lévi approximations to Lévi driven LIBOR models
Papapantoleon, Antonis; Schoenmakers, John; Skovmand, David - 2011
Persistent link: https://www.econbiz.de/10009152332