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An analysis of the Solvency II regulatory framework's Smith-Wilson model for the term structure of risk-free interest rates
Løchte Jørgensen, Peter - In: Journal of banking & finance 97 (2018), pp. 219-237
Persistent link: https://www.econbiz.de/10011967351
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Empirical analysis and forecasting of multiple yield curves
Gerhart, Christoph; Lütkebohmert-Holtz, Eva - In: Insurance / Mathematics & economics 95 (2020), pp. 59-78
Persistent link: https://www.econbiz.de/10012419243
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Issues with the Smith-Wilson method
Lagerås, Andreas; Lindholm, Mathias - In: Insurance / Mathematics & economics 71 (2016), pp. 93-102
Persistent link: https://www.econbiz.de/10011630613
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A mean-field extension of the LIBOR market model
Desmettre, Sascha; Hochgerner, Simon; Omerovic, Sanela; … - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10013189919
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A Markov model for the term structure of credit risk spreads
Jarrow, Robert A.; Lando, David; Turnbull, Stuart M. - 1994
Persistent link: https://www.econbiz.de/10000904137
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Die Duration im Zinsrisikomanagement : Finanzinnovationen und bonitätsrisikobehaftete Fremdkapitaltitel
Gnad, Karlheinz - 1996
Persistent link: https://www.econbiz.de/10000944558
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The term structure of defaultable bond prices
Schönbucher, Philipp J. - 1996
Persistent link: https://www.econbiz.de/10000960002
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Arbitage, Erwartungen und Hedging auf Finanzmärkten : eine mikroökonomische Analyse
Jakobs, Wolfgang - 1997 - [Mikrofiche-Ausg.]
Persistent link: https://www.econbiz.de/10000960640
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Term structure modelling of defaultable bonds
Schönbucher, Philipp J. - 1997
Persistent link: https://www.econbiz.de/10000967593