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Analytical Approximations for Short Rate Models

Antonov, Alexandre - 2010

In this article, we present the analytical approximation of zero-coupon bonds and swaption prices for general short rate models. The approximation is based on regular and singular expansions with respect to the small volatility and contains a low-dimensional integration. The model in hand...

Persistent link: https://www.econbiz.de/10013136997

A common-feature approach for testing present-value restrictions with financial data

Hecq, Alain W. J.; Issler, João Victor - 2012

Persistent link: https://www.econbiz.de/10009500252

A study of the finite sample properties of EMM, GMM, QMLE, and MLE for a square-root interest rate diffusion model

Zhou, Hao - 2000

Persistent link: https://www.econbiz.de/10001534443

An empirical study of Australian short-term interest rate : a comparison of single factor models

Li, Steven (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001516068

Tipos de interés a corto plazo en España

García Montalvo, José - In: Revista de economía aplicada : publicación cuatrimestral 6 (1998) invierno, pp. 5-26

Persistent link: https://www.econbiz.de/10001407672

Asymptotically distribution-free tests for the volatility function of a diffusion

Chen, Qiang; Zheng, Xu; Pan, Zhiyuan - In: Journal of econometrics 184 (2015) 1, pp. 124-144

Persistent link: https://www.econbiz.de/10011326801

Valuation of callable accreting interest rate swaps : least squares Monte-Carlo method under Hull-White interest rate model

Tang, Kin Boon; Zheng, Wen-Jie; Lin, Chao-Yang; Lin, … - In: The North American journal of economics and finance : a … 56 (2021), pp. 1-18

Persistent link: https://www.econbiz.de/10012821303

Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme

Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161

Persistent link: https://www.econbiz.de/10012588029

General Bayesian time-varying parameter VARs for modeling government bond yields

Fischer, Manfred M.; Hauzenberger, Niko; Huber, Florian; … - 2022

Persistent link: https://www.econbiz.de/10012498662

A hybrid tree/finite-difference approach for Heston-Hull-White-type models

Briani, Maya; Caramellino, Lucia; Zanette, Antonino - In: The journal of computational finance 21 (2017/2018) 3, pp. 1-45

Persistent link: https://www.econbiz.de/10011848334

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