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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
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Using the Black-Derman-Toy interest rate model for portfolio optimization
Weissensteiner, Alex - In: European journal of operational research : EJOR 202 (2010) 1, pp. 175-181
Persistent link: https://www.econbiz.de/10003960067
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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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Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
Gauthier, Geneviève; Simonato, Jean-Guy - In: European journal of operational research : EJOR 219 (2012) 2, pp. 442-451
Persistent link: https://www.econbiz.de/10009514314
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A cyclical square-root model for the term structure of interest rates
Moreno, Manuel; Platania, Federico - In: European journal of operational research : EJOR 241 (2015) 1, pp. 109-121
Persistent link: https://www.econbiz.de/10010486893
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A defaultable HJM modelling of the Libor rate for pricing Basis Swaps after the credit crunch
Fanelli, Viviana - In: European journal of operational research : EJOR 249 (2016) 1, pp. 238-244
Persistent link: https://www.econbiz.de/10011435817
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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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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 new bivariate approach for modeling the interaction between stock volatility and interest rate : an application to S&P500 returns and options
Ballestra, Luca Vincenzo; D'Innocenzo, Enzo; Guizzardi, … - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1185-1194
Persistent link: https://www.econbiz.de/10014456945
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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