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Essays in financial economics

Greenwood, Robin - 2002

Persistent link: https://www.econbiz.de/10003779960

Essays on financial econometrics : modeling the term structure of interest rates

Bouwman, Kees Evert - 2008

Persistent link: https://www.econbiz.de/10003671104

Another Arbitrage-Free Affine Model of TIPS Yields with Embedded Liquidity Risk

Durham, J. Benson - 2021

This study outlines an affine term structure model (ATSM) of TIPS that decomposes yields into real expected rates, real term premiums, and liquidity premiums. The estimation incorporates an observable liquidity factor that more comprehensively captures limits to arbitrage implied by yield curve...

Persistent link: https://www.econbiz.de/10013322194

The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time

Beißner, Patrick; Rosazza Gianin, Emanuela - 2018

Recent empirical studies suggest a downward sloping term structure of Sharpe ratios. We present a theoretical framework in continuous time that can cope with such a non-flat forward curve of risk prices. The approach departs from an arbitrage-free and incomplete market setting when different...

Persistent link: https://www.econbiz.de/10011899208

Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio … Asset Pricing Model -- 23 Arbitrage Pricing Theory and Multi-Factor Models -- 24 Strategic Portfolio Allocation -- 25 …