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A generalised arbitrage-free Nelson-Siegel model : the impact of unspanned stochastic volatility

Chen, Rui; Du, Ke - In: Finance research letters 10 (2013) 1, pp. 41-48

Persistent link: https://www.econbiz.de/10009728597

An Arbitrage-Free Nelson-Siegel Model with Unspanned Stochastic Volatility for the Pricing of Interest Rate Derivatives

Chen, Rui - 2014

We propose a generalized arbitrage-free Nelson-Siegel model under the HJM framework. It features unspanned stochastic volatility factors while maintaining a Nelson-Siegel factor loading structure. The price of the interest rate derivatives, including European options, Caps and Swaptions are then...

Persistent link: https://www.econbiz.de/10013045728

An alternative interest rate term structure model

Platen, Eckhard - 2003

Persistent link: https://www.econbiz.de/10002250865

An alternative interest rate term structure model

Platen, Eckhard - In: International journal of theoretical and applied finance 8 (2005) 6, pp. 717-736

Persistent link: https://www.econbiz.de/10003133849

Pricing under the real-world probability measure for jump-diffusion term structure models

Bruti-Liberati, Nicola; Nikitopoulos, Christina Sklibosios - 2007

Persistent link: https://www.econbiz.de/10003685202

Application of maximum likelihood estimation to stochastic short rate models

Fergusson, Kevin; Platen, Eckhard - 2015

Persistent link: https://www.econbiz.de/10011344233

Stylised properties of the interest rate term structure under the benchmark approach

Fergusson, Kevin; Platen, Eckhard - 2014

Persistent link: https://www.econbiz.de/10011344800

A hybrid model for pricing and hedging of long-dated bonds

Baldeaux, Jan; Fung, Man Chung; Ignatieva, Ekaterina; … - In: Applied mathematical finance 22 (2015) 3/4, pp. 366-398

Persistent link: https://www.econbiz.de/10011436216

On the Dybvig-Ingersoll-Ross theorem

Kardaras, Constantinos; Platen, Eckhard - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 729-740

Persistent link: https://www.econbiz.de/10009614938

Alternative term structure models for reviewing expectations puzzles

Nikitopoulos, Christina Sklibosios; Platen, Eckhard - 2012

Persistent link: https://www.econbiz.de/10009564459

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