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Principal component and second generation wavelet analysis of Treasury yield curve evolution
Cooper, Mark L. - 2004
Persistent link: https://www.econbiz.de/10003386850
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Pseudodiffusions and quadratic term structure models
Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 15 (2005) 3, pp. 393-424
Persistent link: https://www.econbiz.de/10002983089
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Zinsswaps und ausfallriskante Anleihen in Deutschland
Metzner, Günther - 2001
Persistent link: https://www.econbiz.de/10001615568
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Bewertung und empirische Analyse von Schuldnerkündigungsrechten
Schulze, Michael - 1996
Persistent link: https://www.econbiz.de/10000935922
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Kapitalmarktmodelle zur Bestimmung erwarteter Renditen festverzinslicher Wertpapiere
Langewand, Jens - 2000
Persistent link: https://www.econbiz.de/10001511077
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The term structure of interest rates and fixed income securities
Käppi, Jari - 1997
Persistent link: https://www.econbiz.de/10000987061
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Credit risk modelling and credit derivatives
Schönbucher, Philipp Johannes - 2000
Persistent link: https://www.econbiz.de/10001449548
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A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
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Term structure equations under benchmark framework
El Qalli, Yassine - 2009
for bond and forward prices. The benchmark or numeraire is chosen to be the growth optimal portfolio (GOP). For … deterministic short rate the solution of the bond term structure equation coincides with the explicit formula obtained in Platen …(2005). The resulting term structure equations are used to explain moves in bond and forward prices by introducing GOP as a …
Persistent link: https://www.econbiz.de/10011523699
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The CARMA interest rate model
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; … - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-27
Persistent link: https://www.econbiz.de/10010363925