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Explaining the level of credit spreads : option-implied jump risk premia in a firm value model

Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J. - In: The review of financial studies 21 (2008) 5, pp. 2209-2242

Persistent link: https://www.econbiz.de/10003765155

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

Explaining the level of credit spreads : option-implied jump risk premia in a firm value model

Cremers, Martijn; Driessen, Joost; Maenhout, Pascal J.; … - 2005

Persistent link: https://www.econbiz.de/10003222023

A general approach for modeling the term structure of interest rates : estimation and application

Zhang, Hua - In: Advances in quantitative analysis of finance and … 5 (1997), pp. 61-85

Persistent link: https://www.econbiz.de/10001230054

Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities

Jiang, George J. - 2012

This paper develops a nonparametric model of interest rate term structure dynamics based on a spot rate process that permits only positive interest rates and a market price of interest rate risk that precludes arbitrage opportunities. Both the spot rate process and the market price of interest...

Persistent link: https://www.econbiz.de/10013100464