Narrow search
Showing 1 - 10 of 23
Cover Image
Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - In: Econometrica : journal of the Econometric Society, an … 68 (2000) 6, pp. 1343-1376
Persistent link: https://www.econbiz.de/10001527496
Cover Image
Modeling term structures of defaultable bonds
Duffie, Darrell; Singleton, Kenneth J. - In: The review of financial studies 12 (1999) 4, pp. 687-720
Persistent link: https://www.econbiz.de/10001421853
Cover Image
Transform analysis and asset pricing for affine jump-diffusions
Duffie, Darrell; Pan, Jun; Singleton, Kenneth J. - 1999
Persistent link: https://www.econbiz.de/10001388790
Cover Image
Empirical dynamic asset pricing : model specification and econometric assessment
Singleton, Kenneth J. - 2006
Persistent link: https://www.econbiz.de/10003310745
Cover Image
Pricing coupon-bond options and swaptions in affine term structure models
Singleton, Kenneth J. - In: Mathematical finance : an international journal of … 12 (2002) 4, pp. 427-446
Persistent link: https://www.econbiz.de/10001741956
Cover Image
Credit risk modeling with affine processes
Duffie, Darrell - In: Journal of banking & finance 29 (2005) 11, pp. 2751-2802
Persistent link: https://www.econbiz.de/10003121049
Cover Image
Intertemporal asset pricing theory
Duffie, Darrell - 2003
Persistent link: https://www.econbiz.de/10001832879
Cover Image
A yield-factor model of interest rates
Duffie, Darrell - In: Mathematical finance : an international journal of … 6 (1996) 4, pp. 379-406
Persistent link: https://www.econbiz.de/10001208931
Cover Image
Affine processes and applications in finance
Duffie, Darrell; Filipović, Damir; Schachermayer, Walter - 2002
Persistent link: https://www.econbiz.de/10001704101
Cover Image
Swap rates and credit quality
Duffie, Darrell - In: The journal of finance : the journal of the American … 51 (1996) 3, pp. 921-949
Persistent link: https://www.econbiz.de/10001203636