Similar Search Results

Exploring a two-factor, Markovian, longnormal model of the term structure of interest rates

Richard, Scott F. - In: The legacy of Fischer Black, (pp. 197-211). 2005

Persistent link: https://www.econbiz.de/10003404091

A new approach to production equilibria in vector lattices

Richard, Scott F. - In: Journal of mathematical economics 18 (1989) 1, pp. 41-56

Persistent link: https://www.econbiz.de/10001065485

Improving guidelines for interest rate and credit derivatives

Kreider, Steven K.; Richard, Scott F.; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003765480

Valuation of mortgage-backed securities

Fabozzi, Frank J.; Richard, Scott F.; Horowitz, David S. - In: The handbook of mortgage-backed securities, (pp. 759-781). 2006

Persistent link: https://www.econbiz.de/10003274029

Valuation of mortgage-backed securities

Fabozzi, Frank J.; Richard, Scott F.; Horowitz, David S. - In: The handbook of fixed income securities, (pp. 873-895). 2005

Persistent link: https://www.econbiz.de/10003054914

The role of conditioning information in deducing testable restrictions implied by dynamic asset pricing models

Hansen, Lars Peter - In: Econometrica : journal of the Econometric Society, an … 55 (1987) 3, pp. 587-612

Persistent link: https://www.econbiz.de/10001029378

A new approach to the existence of equilibria vector lattices

Mas-Colell, Andreu - In: Journal of economic theory 53 (1991) 1, pp. 1-11

Persistent link: https://www.econbiz.de/10001101645

Monte Carlo simulation/OAS approach to valuing residential real estate-backed securities

Fabozzi, Frank J.; Richard, Scott F.; Horowitz, David S. - In: Interest rate, term structure, and valuation modeling, (pp. 443-468). 2002

Persistent link: https://www.econbiz.de/10001734187

Equilibrium in economies with infinitely many consumers and infinitely many commodities

Richard, Scott F. - In: Journal of mathematical economics 17 (1988) 1, pp. 9-21

Persistent link: https://www.econbiz.de/10001065593

A Non-Linear Macroeconomic Term Structure Model

Richard, Scott F. - 2013

This model uses three implicit states (Core CPI, the unemployment rate, and the quarterly growth rate of non-farm payrolls) which follow a multivariate continuous-time Ornstein-Uhlenbeck (OU) process. The instantaneous risk-free rate (Fed Funds) is set using a policy rule (following Black...

Persistent link: https://www.econbiz.de/10014038831