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An arbitrage-free generalized Nelson-Siegel term structure model
Christensen, Jens H. E.; Diebold, Francis X.; … - 2008
Persistent link: https://www.econbiz.de/10003778773
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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
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The dynamics of financially constrained arbitrage
Gromb, Denis; Vayanos, Dimitri - 2015
Persistent link: https://www.econbiz.de/10010499506
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Long-term behavior of yield curves
Siegel, Andrew F.; Nelson, Charles R. - 1986
Persistent link: https://www.econbiz.de/10000694583
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Bond market clienteles, the yield curve, and the optimal maturity structure of government debt
Guibaud, Stéphane; Nosbusch, Yves; Vayanos, Dimitri - 2013
Persistent link: https://www.econbiz.de/10009735794
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Linkages across sovereign debt markets
Arellano, Cristina; Bai, Yan - 2013
Persistent link: https://www.econbiz.de/10010200879
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Expected future tax policy and tax-exempt bond yields
Poterba, James M. - 1984
Persistent link: https://www.econbiz.de/10002675162
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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
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A direct approach to arbitrage-free pricing of credit derivatives
Das, Sanjiv R.; Sundaram, Rangarajan K. - 1998
Persistent link: https://www.econbiz.de/10000671238
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Arbitrage-free limit order books and the pricing of order flow risk
Lehmann, Bruce Neal - 2008
schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states …
Persistent link: https://www.econbiz.de/10003681900