Narrow search
Showing 1 - 10 of 6,939
Cover Image
An arbitrage-free generalized Nelson-Siegel term structure model
Christensen, Jens H. E.; Diebold, Francis X.; … - 2008
Persistent link: https://www.econbiz.de/10003778773
Cover Image
The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E.; Diebold, Francis X.; … - 2007
Persistent link: https://www.econbiz.de/10003604248
Cover Image
Pricing and hedging derivative securities in incomplete markets : an [epsilon]-arbitrage approach
Bertsimas, Dimitris; Kogan, Leonid; Lo, Andrew W. - 1997
Persistent link: https://www.econbiz.de/10000646551
Cover Image
Specification analysis of affine term structure models
Dai, Qiang; Singleton, Kenneth J. - 1997
Persistent link: https://www.econbiz.de/10000637523
Cover Image
Poisson-Gaussian processes and the bond market
Das, Sanjiv R. - 1998
Persistent link: https://www.econbiz.de/10000671235
Cover Image
A general stochastic volatility model for the pricing and forecasting of interest rate derivatives
Trolle, Anders B.; Schwartz, Eduardo S. - 2006
Persistent link: https://www.econbiz.de/10003343404
Cover Image
Arbitrage-free bond pricing with dynamic macroeconomic models
Gallmeyer, Michael F.; Hollifield, Burton; Palomino, … - 2007
-maturity default-free bonds. The volatility of the long end of the term structure and its relationship with monetary policy are …, specifically stochastic volatility models combined with Epstein-Zin recursive utility, can account for such patterns. We study the …
Persistent link: https://www.econbiz.de/10003495985
Cover Image
On expectations, term premiums and the volatility of long-term interest rates
Pesando, James E. - 1980
Persistent link: https://www.econbiz.de/10009558819
Cover Image
Endogenous dividend dynamics and the term structure of dividend strips
Belo, Frederico; Collin-Dufresne, Pierre; Goldstein, … - 2012
Persistent link: https://www.econbiz.de/10009666681
Cover Image
Estimation of affine term structure models with spanned or unspanned stochastic volatility
Creal, Drew; Wu, Jing Cynthia - 2014
Persistent link: https://www.econbiz.de/10010360896