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Financial pricing models in continuous time and Kalman filtering

Kellerhals, Boris-Philipp; Kellerhals, Boris Philipp - 2001

Persistent link: https://www.econbiz.de/10001591594

Analytical solutions for the pricing of American bond and yield options

Chesney, Marc; Elliott, Robert J.; Gibson, Rajna - In: Mathematical finance : an international journal of … 3 (1993) 3, pp. 277-294

Persistent link: https://www.econbiz.de/10001184869

Extended yield-curve-based interest rate contingent claim pricing models

Canabarro, Eduardo Antonio Duarte - 1993

Persistent link: https://www.econbiz.de/10000916126

Essays on interest-rate volatility and the pricing of interest-rate derivative assets

Hanweck, Gerald Alfred - 1994

Persistent link: https://www.econbiz.de/10000916134

Nonparametric Modeling of U.S. Interest Rate Term Structure Dynamics and Implications on the Prices of Derivative Securities

Jiang, George J. - 2012

This paper develops a nonparametric model of interest rate term structure dynamics based on a spot rate process that permits only positive interest rates and a market price of interest rate risk that precludes arbitrage opportunities. Both the spot rate process and the market price of interest...

Persistent link: https://www.econbiz.de/10013100464

Jump tail risk premium and predicting US and Japanese credit spreads

Ubukata, Masato - In: Empirical economics : a journal of the Institute for … 57 (2019) 1, pp. 79-104

Persistent link: https://www.econbiz.de/10012052257

Explicit computation of the post-crisis spot LIBOR in a jump-diffusion framework

Di Persio, Luca; Gugole, Nicola - In: New methods in fixed income modeling : fixed income modeling, (pp. 61-83). 2018

Persistent link: https://www.econbiz.de/10012011579

The factor structure in equity options

Christoffersen, Peter F.; Fournier, Mathieu; Jacobs, Kris - In: The review of financial studies 31 (2018) 2, pp. 595-637

Persistent link: https://www.econbiz.de/10011925246

Time-series and cross-section information in affine term structure models

Jong, Frank de - 1999

Persistent link: https://www.econbiz.de/10013422714

The determinants of bank CDS spreads : evidence from the financial crisis

Chiaramonte, Laura; Casu, Barbara - In: The European journal of finance 19 (2013) 9/10, pp. 861-887

Persistent link: https://www.econbiz.de/10010245653