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Fundamental properties of bond prices in models of the short-term rate

Mele, Antonio - 2002

Persistent link: https://www.econbiz.de/10001687830

Fundamental properties of bond prices in models of the short-term rate

Mele, Antonio - In: The review of financial studies 16 (2003) 3, pp. 679-716

Persistent link: https://www.econbiz.de/10001794920

Adding and subtracting black-scholes : a new approach to approximating derivative prices in continuous time models

Kristensen, Dennis; Mele, Antonio - 2009

Persistent link: https://www.econbiz.de/10003849531

Adding and subtracting Black-Scholes : a new approach to approximating derivative prices in continuous-time models

Kristensen, Dennis; Mele, Antonio - In: Journal of financial economics 102 (2011) 2, pp. 390-415

Persistent link: https://www.econbiz.de/10009310761

Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265

Persistent link: https://www.econbiz.de/10011377668

Rate fears gauges and the dynamics of fixed income and equity volatilities

Mele, Antonio; Obayashi, Yoshiki; Shalen, Catherine T. - In: Journal of banking & finance 52 (2015), pp. 256-265

Persistent link: https://www.econbiz.de/10011377669

Stochastic volatility in financial markets : crossing the bridge to continuous time

Fornari, Fabio; Mele, Antonio - 2000

Persistent link: https://www.econbiz.de/10001464294

Continuous time conditionally heteroskedastic models : theory with applications to the term structure of interest rates

Fornari, Fabio - In: Economic notes : economic review of Banca Monte dei … 24 (1995) 2, pp. 327-352

Persistent link: https://www.econbiz.de/10001196572

A simple approach to the estimation of continuous time CEV stochastic volatility models of the short-term rate

Fornari, Fabio; Mele, Antonio - 2001

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Stochastic Volatility in Financial Markets : Crossing the Bridge to Continuous Time

Fornari, Fabio - 2000

Stochastic Volatility in Financial Markets presents advanced topics in financial econometrics and theoretical finance, and is divided into three main parts. The first part aims at documenting an empirical regularity of financial price changes: the occurrence of sudden and persistent changes of...

Persistent link: https://www.econbiz.de/10013519244