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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 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
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A noisy principal component analysis for forward rate curves
Laurini, Márcio Poletti; Ohashi, Alberto - In: European journal of operational research : EJOR 246 (2015) 1, pp. 140-153
Persistent link: https://www.econbiz.de/10011341688
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Affine model of inflation-indexed derivatives and inflation risk premium
Ho, Hsiao-wei; Huang, Henry H.; Yildirim, Yildiray - In: European journal of operational research : EJOR 235 (2014) 1, pp. 159-169
Persistent link: https://www.econbiz.de/10010361364