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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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Return-predicting factors for us treasuries : on the similarity of “tents” and “bats”
Rebonato, Riccardo - In: International journal of theoretical and applied finance 18 (2015) 4, pp. 1-14
Persistent link: https://www.econbiz.de/10011403787
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Lévy-Vasicek models and the long-bond return process
Brody, Dorje C.; Hughston, Lane P.; Meier, David M. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-26
Persistent link: https://www.econbiz.de/10011889447
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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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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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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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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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Public debt management and foreign currency denominated bonds
Ceccacci, Silvia; Marchesiani, Alessandro; Pecchi, Lorenzo - In: International journal of theoretical and applied finance 10 (2007) 5, pp. 763-770
Persistent link: https://www.econbiz.de/10003564628
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Pricing sovereign contingent convertible debt
Consiglio, Andrea; Tumminello, Michele; Zenios, Stauros … - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-36
Persistent link: https://www.econbiz.de/10011970916
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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