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Discrete time linear-quadratic pricing of bonds and options

Realdon, Marco - In: Applied financial economics 21 (2011) 7/9, pp. 463-467

Persistent link: https://www.econbiz.de/10009153287

Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)

Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386

Persistent link: https://www.econbiz.de/10012608653

Gaussian models for Euro high grade government yields

Realdon, Marco - In: The European journal of finance 23 (2017) 13/15, pp. 1468-1511

Persistent link: https://www.econbiz.de/10012014691

Discounting earnings with stochastic discount rates

Realdon, Marco - In: The European journal of finance 25 (2019) 10, pp. 910-936

Persistent link: https://www.econbiz.de/10012207041

Equity valuation under stochastic rates

Realdon, Marco (contributor) - 2006

Persistent link: https://www.econbiz.de/10003335020

Extended-Gaussian term structure models and credit risk applications

Realdon, Marco (contributor) - 2007

Persistent link: https://www.econbiz.de/10003564807

An extended structural credit risk model

Realdon, Marco (contributor) - 2007

Persistent link: https://www.econbiz.de/10003564820

Autoregressive Poisson (ARP) Affine Term Structure Models

Realdon, Marco - 2021

This paper presents tractable discrete time ARP affine term structure models, in which the short rate is driven by autoregressive factors distributed according to Poisson mixtures of various probability densities. ARP models encompass popular ARG and VARG0 affine models based on autoregressive...

Persistent link: https://www.econbiz.de/10013310617