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Essays on dual risk measures and the asymptotic term structure
Schulze, Klaas (contributor) - 2009
Persistent link: https://www.econbiz.de/10003872174
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The term structure of sharpe ratios and arbitrage-free asset pricing in continuous time
Beißner, Patrick; Rosazza Gianin, Emanuela - 2018
arbitrage-free and incomplete market setting when different pricing measures are possible. Involved pricing measures now depend …
Persistent link: https://www.econbiz.de/10011899208
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Global yield curves and sovereign bond market integration
Zhu, Xiaoneng; Rahman, Shahidur - 2009
Persistent link: https://www.econbiz.de/10003835103
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No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014
Persistent link: https://www.econbiz.de/10010363319
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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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An arbitrage-free generalized Nelson-Siegel term structure model
Christensen, Jens H. E. (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003769409
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An arbitrage-free generalized Nelson-Siegel term structure model
Christensen, Jens H. E.; Diebold, Francis X.; … - 2008
Persistent link: https://www.econbiz.de/10003778773
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Essays in financial economics
Greenwood, Robin - 2002
Persistent link: https://www.econbiz.de/10003779960
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The bond yield "conundrum" from a macro-finance perspective
Rudebusch, Glenn D.; Swanson, Eric T.; Wu, Tao - 2006
Persistent link: https://www.econbiz.de/10003353026
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Bond pricing when the short term interest rate follows a threshold process
Lemke, Wolfgang (contributor);  … - 2006
Using a stochastic discount factor approach, we derive the exact solution for arbitrage-free bond yields for the case …
Persistent link: https://www.econbiz.de/10003304940