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A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

Trolle, Anders B. - 2010

We develop a tractable and flexible stochastic volatility multi-factor model of the term structure of interest rates. It features correlations between innovations to forward rates and volatilities, quasi-analytical prices of zero-coupon bond options and dynamics of the forward rate curve, under...

Persistent link: https://www.econbiz.de/10012761268

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

Trolle, Anders B. - 2006

Persistent link: https://www.econbiz.de/10012466328

Assessment of rapid growth ventures, an extension of Schwartz and Moon model

Afik, Zvika; Zwilling, Eran - In: Managerial and decision economics : MDE ; the … 39 (2018) 1, pp. 107-114

Persistent link: https://www.econbiz.de/10011969042

Pricing of options on commodity futures with stochastic term structures of convenience yields and interest rates

Miltersen, Kristian R.; Schwartz, Eduardo S. - 1997

Persistent link: https://www.econbiz.de/10000972817

The stable non-Gaussian asset allocation : a comparison with the classical Gaussian approach

Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Journal of economic dynamics & control 27 (2003) 6, pp. 937-969

Persistent link: https://www.econbiz.de/10001734458

Evaluating investments in disruptive technologies

Schwartz, Eduardo S.; Zozaya-Gorostiza, Carlos - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 463-486). 2002

Persistent link: https://www.econbiz.de/10001679465

Valuing long-term commodity assets

Schwartz, Eduardo S. - In: Journal of energy finance & development 3 (1998) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001445708

Multifactor stochastic variance models in risk management : maximum entropy approach and lévy processes

Levin, Alexander; Tchernister, Alexander; Schwartz, … - In: Handbook of heavy tailed distributions in finance, (pp. 443-480). 2003

Persistent link: https://www.econbiz.de/10001882183

Asset liability management : a review and some new results in the presence of heavy tails

Tokat, Yesim; Račev, Svetlozar T.; Schwartz, Eduardo S. - In: Handbook of heavy tailed distributions in finance, (pp. 509-546). 2003

Persistent link: https://www.econbiz.de/10001882195

Implementing a stochastic model for oil futures prices

Cortazar, Gonzalo; Schwartz, Eduardo S. - In: Energy economics 25 (2003) 3, pp. 215-238

Persistent link: https://www.econbiz.de/10001764802