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Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
Keller-Ressel, Martin; Steiner, Thomas - In: Finance and stochastics 12 (2008) 2, pp. 149-172
Persistent link: https://www.econbiz.de/10003716240
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Consistent variance curve models
Buehler, Hans - In: Finance and stochastics 10 (2006) 2, pp. 178-203
Persistent link: https://www.econbiz.de/10003334916
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Exponential moments for HJM models with jumps
Jakubowski, Jacek; Zabczyk, Jerzy - In: Finance and stochastics 11 (2007) 3, pp. 429-445
Persistent link: https://www.econbiz.de/10003485817
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Negative Libor rates in the swap market model
Davis, Mark H. A.; Mataix-Pastor, Vicente - In: Finance and stochastics 11 (2007) 2, pp. 181-193
Persistent link: https://www.econbiz.de/10003439752
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Optimal portfolio choice in the bond market
Ringer, Nathanael; Tehranchi, Michael - In: Finance and stochastics 10 (2006) 4, pp. 553-573
Persistent link: https://www.econbiz.de/10003405649
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Local volatility dynamic models
Carmona, René; Nadtochiy, Sergey - In: Finance and stochastics 13 (2009) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10003939465
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Can the implied volatitlity surface move by parallel shifts?
Rogers, Leonard C. G.; Tehranchi, M. R. - In: Finance and stochastics 14 (2010) 2, pp. 235-248
Persistent link: https://www.econbiz.de/10003951506
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Existence of Lévy term structure models
Filipović, Damir; Tappe, Stefan - In: Finance and stochastics 12 (2008) 1, pp. 83-115
Persistent link: https://www.econbiz.de/10003592553
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Convexity theory for the term structure equation
Ekström, Erik; Tysk, Johan - In: Finance and stochastics 12 (2008) 1, pp. 117-147
Persistent link: https://www.econbiz.de/10003592554
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Consistency among trading desks
Heath, David; Ku, Hyejin - In: Finance and stochastics 10 (2006) 3, pp. 331-340
Persistent link: https://www.econbiz.de/10003379777