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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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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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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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Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Kraft, Holger - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 767-796
Persistent link: https://www.econbiz.de/10003911240
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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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Risk premia and optimal liquidation of credit derivatives
Leung, Tim; Liu, Peng - In: International journal of theoretical and applied finance 15 (2012) 8, pp. 1-34
Persistent link: https://www.econbiz.de/10009707094
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VIX versus VXX : a joint analytical framework
Grasselli, Martino; Wagalath, Lakshithe - In: International journal of theoretical and applied finance 23 (2020) 5, pp. 1-39
Persistent link: https://www.econbiz.de/10012496543
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Index options and volatility derivatives in a Gaussian random field risk-neutral density model
Han, Xixuan; Wei, Boyu; Yang, Hailiang - In: International journal of theoretical and applied finance 21 (2018) 4, pp. 1-41
Persistent link: https://www.econbiz.de/10011891885
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Time-varying risk premia in emerging markets : explanation by a multi-factor affine term structure model
Almeida, Caio - In: International journal of theoretical and applied finance 7 (2004) 7, pp. 919-947
Persistent link: https://www.econbiz.de/10002420784