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The term structure of implied volatility in symmetric models with applications to Heston
De Marco, Stefano; Martini, Claude - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-27
Persistent link: https://www.econbiz.de/10009624467
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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925
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A generalized multiscale analysis of the predictive content of Eurodollar implied volatilities
Cardinali, Alessandro - In: International journal of theoretical and applied finance 12 (2009) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10003847543
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Principal-component-based Gaussian affine term structure models : constraints and their financial implications
Rebonato, Riccardo; Saroka, Ivan; Putiatyn, Vlad - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-25
Persistent link: https://www.econbiz.de/10012270944
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Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
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On dynamic forward rate modeling and principal component analysis
Bermin, Hans-Peter - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-20
Persistent link: https://www.econbiz.de/10010437211
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Consistent parallel and proportional shifts in the term structure of futures prices
Hinnerich, Mia - In: International journal of theoretical and applied finance 18 (2015) 1, pp. 1-25
Persistent link: https://www.econbiz.de/10011403181
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Polynomial term structure models
Cheng, Si; Tehranchi, Michael R. - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10012650336
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The classification of term structure shapes in the two-factor vasicek model : a total positivity approach
Keller-Ressel, Martin - In: International journal of theoretical and applied finance 24 (2021) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10012662032
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General analysis of long-term interest rates
Biagini, Francesca; Gnoatto, Alessandro; Härtel, Maximilian - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-29
Persistent link: https://www.econbiz.de/10012270881