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Unifying Gaussian dynamic term structure models from a Heath-Jarrow-Morton perspective
Li, Haitao; Ye, Xiaoxia; Yu, Fan - In: European journal of operational research : EJOR 286 (2020) 3, pp. 1153-1167
Persistent link: https://www.econbiz.de/10012291633
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Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability
Yao, Haixiang; Li, Zhongfei; Li, Duan - In: European journal of operational research : EJOR 252 (2016) 3, pp. 837-851
Persistent link: https://www.econbiz.de/10011472346
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From bond yield to macroeconomic instability : a parsimonious affine model
Recchioni, Maria Cristina; Tedeschi, Gabriele - In: European journal of operational research : EJOR 262 (2017) 3, pp. 1116-1135
Persistent link: https://www.econbiz.de/10011802489
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Retrospective optimization of mixed-integer stochastic systems using dynamic simplex linear interpolation
Wang, Honggang - In: European journal of operational research : EJOR 217 (2012) 1, pp. 141-148
Persistent link: https://www.econbiz.de/10009389509
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Modelling the evolution of credit spreads using the Cox process within the HJM framework : a CDS option pricing model
Chiarella, Carl; Fanelli, Viviana; Musti, Silvana - In: European journal of operational research : EJOR 208 (2011) 2, pp. 95-108
Persistent link: https://www.econbiz.de/10008779603
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Implications of implicit credit spread volatilities on interest rate modelling
Fanelli, Viviana - In: European journal of operational research : EJOR 263 (2017) 2, pp. 707-718
Persistent link: https://www.econbiz.de/10011794020
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A tractable interest rate model with explicit monetary policy rates
Renne, Jean-Paul - In: European journal of operational research : EJOR 251 (2016) 3, pp. 873-887
Persistent link: https://www.econbiz.de/10011449003
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Approximating term structure of interest rates using cubic L 1 splines
Chiu, Nan-chieh; Fang, Shu-Cherng; Lavery, John E.; … - In: European journal of operational research : EJOR 184 (2008) 3, pp. 990-1004
Persistent link: https://www.econbiz.de/10003768640
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An incentive-compatible solution for trade credit term incorporating default risk
Shi, Xiaojun; Zhang, Shunming - In: European journal of operational research : EJOR 206 (2010) 1, pp. 178-196
Persistent link: https://www.econbiz.de/10003968498
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A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
Chen, Homing; Hu, Cheng-feng - In: European journal of operational research : EJOR 204 (2010) 2, pp. 343-354
Persistent link: https://www.econbiz.de/10003947179