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"Extended Black" term structure models

Realdon, Marco - In: International review of financial analysis 18 (2009) 5, pp. 232-238

This paper examines "Extended Black" term structure models (EBTSM), which are multi-factor extensions of the one factor Black (1995) model. EBTSM are not affected by the admissibility restrictions that plague canonical affine models. EBTSM encompass quadratic models, but unlike in quadratic...

Persistent link: https://www.econbiz.de/10003936529

Euro periphery sovereign default swap pricing

Realdon, Marco - In: The IUP journal of financial risk management : IJFRM 9 (2012) 1, pp. 7-27

Persistent link: https://www.econbiz.de/10009569548

Quadratic term structure models in discrete time

Realdon, Marco - In: Finance research letters 3 (2006) 4, pp. 277-289

Persistent link: https://www.econbiz.de/10003390698

Discrete time affine term structure models with squared Gaussian shocks (DTATSM-SGS)

Realdon, Marco - In: Quantitative finance 21 (2021) 8, pp. 1365-1386

Persistent link: https://www.econbiz.de/10012608653

Credit risk, valuation and fundamental analysis

Realdon, Marco - In: International review of financial analysis 27 (2013), pp. 77-90

Persistent link: https://www.econbiz.de/10009736940

Affine and quadratic models with many factors and few parameters

Realdon, Marco - In: The European journal of finance 26 (2020) 11, pp. 1019-1046

Persistent link: https://www.econbiz.de/10012264944

Tests of non linear Gaussian term structure models

Realdon, Marco - In: Journal of international financial markets, … 44 (2016), pp. 128-147

Persistent link: https://www.econbiz.de/10011690399

Gaussian models for Euro high grade government yields

Realdon, Marco - In: The European journal of finance 23 (2017) 13/15, pp. 1468-1511

Persistent link: https://www.econbiz.de/10012014691

Discounting earnings with stochastic discount rates

Realdon, Marco - In: The European journal of finance 25 (2019) 10, pp. 910-936

Persistent link: https://www.econbiz.de/10012207041

Extended-Gaussian term structure models and credit risk applications

Realdon, Marco (contributor) - 2007

Persistent link: https://www.econbiz.de/10003564807

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