Similar Search Results

Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions

Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121

Persistent link: https://www.econbiz.de/10009672975

Asset allocation under stochastic interest rate with regime switching

Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136

Persistent link: https://www.econbiz.de/10009667429

Endogenous interest rate dynamics in asset markets

Reiß, Oliver (contributor); Schoenmakers, John (contributor) - 2000 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001593794

Long-term behavior of stochastic interest rate models with Markov switching

Zhang, Zhenzhong; Tong, Jinying; Hu, Lingjian - In: Insurance / Mathematics & economics 70 (2016), pp. 320-326

Persistent link: https://www.econbiz.de/10011597312

A generalization of the formulas for options on the maximum or the minimum of several assets

Lindset, Snorre - In: The European journal of finance 12 (2006) 8, pp. 717-730

Persistent link: https://www.econbiz.de/10003396191

Alternative characterization of volatility of short-term interest rate

Bhar, Ramaprasad; Lee, Damien - In: International journal of financial engineering 5 (2018) 2, pp. 1-15

Persistent link: https://www.econbiz.de/10011923007

Characteristic functions in the Cheyette Interest Rate Model

Beyna, Ingo; Wystup, Uwe - 2011

We investigate the characteristic functions of multi-factor Cheyette Models and the application to the valuation of interest rate derivatives. The model dynamic can be classiffied as an affine-diffusion process implying an exponential structure of the characteristic function. The characteristic...

Persistent link: https://www.econbiz.de/10008937500

Quadratic term structure models for risk-free and defaultable rates

Chen, Li; Filipović, Damir; Poor, H. Vincent - In: Mathematical finance : an international journal of … 14 (2004) 4, pp. 515-536

Persistent link: https://www.econbiz.de/10002396345

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

A general characterization of one factor affine term structure models

Filipović, Damir - In: Finance and stochastics 5 (2001) 3, pp. 389-412

Persistent link: https://www.econbiz.de/10001599299

1
2
3
4
5
6
7
8
9
10
Next
Last