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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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The volatility of long-term bond returns : rersistent interest shocks and time-varying risk premiums
Osterrieder, Daniela; Schotman, Peter C. - 2012
Persistent link: https://www.econbiz.de/10009576958
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Expected business conditions and bond risk premia
Eriksen, Jonas Nygaard - 2015
Persistent link: https://www.econbiz.de/10011343492
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Interest rates with long memory : a generalized affine term-structure model
Osterrieder, Daniela - 2013
Persistent link: https://www.econbiz.de/10009751847
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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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Analyzing oil futures with a dynamic Nelson-Siegel Model
Hansen, Niels S.; Lunde, Asger - 2013
Persistent link: https://www.econbiz.de/10010195637
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Dynamic term structure models : the best way to enforce the zero lower bound
Andreasen, Martin Møller; Meldrum, Andrew - 2014
Persistent link: https://www.econbiz.de/10010438075