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Closed form solutions for quadratic and inverse quadratic term structure models
Laurence, Peter; Wang, Tai-Ho - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1059-1083
Persistent link: https://www.econbiz.de/10003280034
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An infinite factor model for credit risk
Schmidt, Thorsten - In: International journal of theoretical and applied finance 9 (2006) 1, pp. 43-68
Persistent link: https://www.econbiz.de/10003285916
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Bond market model
Baviera, Roberto - In: International journal of theoretical and applied finance 9 (2006) 4, pp. 577-596
Persistent link: https://www.econbiz.de/10003347391
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PCA-based ex-ante forecasting of swap term structures
Blaskowitz, Olilver; Herwartz, Helmut - In: International journal of theoretical and applied finance 12 (2009) 4, pp. 465-489
Persistent link: https://www.econbiz.de/10003879073
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Arbitrage smoothing in fitting a sequence of yield curves
Bekker, Paul A.; Bouwman, Kees E. - In: International journal of theoretical and applied finance 12 (2009) 5, pp. 577-588
Persistent link: https://www.econbiz.de/10003899479
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A new finite element method for pricing of bond options under time inhomogeneous affine term structure models of interest rates
Yang, Hongtao - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 31-49
Persistent link: https://www.econbiz.de/10003415634
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Variance term structure and VIX futures pricing
Zhu, Yingzi; Zhang, Jin E. - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 111-127
Persistent link: https://www.econbiz.de/10003415735
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A Markovian defaultable term structure model with state dependent volatilities
Chiarella, Carl; Nikitopoulos, Christina Sklibosios; … - In: International journal of theoretical and applied finance 10 (2007) 1, pp. 155-202
Persistent link: https://www.econbiz.de/10003415746
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Defaultable Lévy Libor rates and credit derivatives
Huehne, Florian - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 407-435
Persistent link: https://www.econbiz.de/10003463421
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An extension of the Brody-Hughston-Macrina approach to modeling of defaultable bonds
Rutkowski, Marek; Yu, Nannan - In: International journal of theoretical and applied finance 10 (2007) 3, pp. 557-589
Persistent link: https://www.econbiz.de/10003463472