Similar Search Results

Nontraded assets in incomplete markets : pricing and portfolio choices

Svensson, Lars E. O. - 1990

Persistent link: https://www.econbiz.de/10013359705

Finite dimensional Markovian realizations for stochastic volatility forward rate models

Björk, Tomas (contributor); Landén, Camilla (contributor); … - 2002 - [Elektronische Ressource], This version: May 6, 2002

we use the previously developed Hilbert space realization theory in order provide general necessary and sufficent … the theory by analyzing a number of concrete examples. -- HJM models ; stochastic volatility ; factor models ; forward …

Persistent link: https://www.econbiz.de/10001664233

New Techniques to Extract Market Expectations from Financial Instrument

Svensson, Lars E. O. - 2013

This paper is a selective survey of new or recent methods to extract information about market expectations from asset prices for monetary policy purposes. Traditionally, interest rates and forward exchange rates have been used to extract expected means of future interest rates, exchange rates...

Persistent link: https://www.econbiz.de/10012712297