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Affine long term yield curves : an application of the Ramsey rule with progressive utility
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Journal of financial engineering 1 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010508124
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Ramsey rule with forward/backward utility for long-term yield curves modeling
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 375-414
Persistent link: https://www.econbiz.de/10013380575
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A random forest based approach for predicting spreads in the primary catastrophe bond market
Makariou, Despoina; Barrieu, Pauline; Chen, Yining - In: Insurance / Mathematics & economics 101 (2021) 2, pp. 140-162
Persistent link: https://www.econbiz.de/10012793915
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Multifactor models of the term structure of interest rates
El Karoui, Nicole; Lacoste, Vincent - 1992
Persistent link: https://www.econbiz.de/10000875966
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On the behavior of long zero coupon rates in a no arbitrage framework
El Karoui, Nicole - In: Review of derivatives research 1 (1997) 4, pp. 351-369
Persistent link: https://www.econbiz.de/10001238755
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A note on the behavior of long zero coupon rates in a no-arbitrage framework
El Karoui, Nicole; Frachot, Antoine; Geman, Hélyette - 1996
Persistent link: https://www.econbiz.de/10000936717
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Phenomenology of the interest curve
BOUCHAUD, Jean-Philippe; CONT, Rama; KAROUI, Nicole EL; … - EconWPA - 1997
This paper contains a statistical description of the whole U.S. forward rate curve (FRC), based on data from the period 1990-1996. We find that the average deviation of the FRC from the spot rate grows as the square- root of the maturity, with a proportionality constant which is comparable to...
Persistent link: https://www.econbiz.de/10005413172