Narrow search
Showing 51 - 60 of 759,362
Cover Image
Zinsmodelle in der stochastischen Optimierung : mit Anwendungen im Asset- & Liability-Management
Schürle, Michael - 1998
Persistent link: https://www.econbiz.de/10000672590
Cover Image
Semi-parametric modelling of the term structure
Bianchi, Marco; Orszag, Jonathan Michael; Steeley, James M. - 1997
Persistent link: https://www.econbiz.de/10000956524
Cover Image
Feasible estimation of the long term interest rate dynamics by nonlinear techniques
Fink, S.; Walde, J. - In: Computational finance and its applications III : …, (pp. 43-50). 2008
Persistent link: https://www.econbiz.de/10003713251
Cover Image
Improved estimation strategy in multi-factor Vasicek model
Ahmed, S. Ejaz; Nkurunziza, Sévérien; Liu, Shuangzhe - In: Statistical inference, econometric analysis and matrix …, (pp. 255-270). 2009
Persistent link: https://www.econbiz.de/10003781036
Cover Image
Three essays on unit roots and nonlinear co-integrated processes
Gaul, Jürgen - 2008
Persistent link: https://www.econbiz.de/10003773152
Cover Image
Bayesian versus maximum likelihood estimation of term structure models driven by latent diffusions
Frühwirth, Manfred; Schneider, Paul; Sögner, Leopold - In: Operations research proceedings 2005 : selected papers …, (pp. 507-512). 2006
Persistent link: https://www.econbiz.de/10003347723
Cover Image
Estimating LIBOR swaps spot-volatilities : the EpiVolatility model
Bianchi, Stephen W.; Wets, Roger J.-B.; Yang, Liming - In: Dynamic stochastic optimization : [this volume includes …, (pp. 99-114). 2004
Persistent link: https://www.econbiz.de/10003487959
Cover Image
Complex times : asset pricing and conditional moments under non-affine diffusions
Kimmel, Robert (contributor) - 2007
Persistent link: https://www.econbiz.de/10003477020
Cover Image
Adaptive interest rate modelling
Guo, Mengmeng; Härdle, Wolfgang - 2010
A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...
Persistent link: https://www.econbiz.de/10003973636
Cover Image
Recursive Bayesian estimation in forward price models implied by fair pricing
El Qalli, Yassine - In: International journal of theoretical and applied finance 13 (2010) 2, pp. 301-333
Persistent link: https://www.econbiz.de/10008860389