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Essays in financial economics
Greenwood, Robin - 2002
Persistent link: https://www.econbiz.de/10003779960
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Are the risk-free interest rates correlated with sovereign default intensities?
Kagraoka, Yusho - In: The journal of fixed income 28 (2019) 4, pp. 91-103
Persistent link: https://www.econbiz.de/10012251389
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Principal component analysis in negative interest rate environment
Lazarević, Milan - In: Acta oeconomica : periodical of the Hungarian Academy … 69 (2019) 1, pp. 101-125
Persistent link: https://www.econbiz.de/10012131097
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On cross-currency models with stochastic volatility and correlated interest rates
Grzelak, Lech A.; Oosterlee, Cornelis W. - In: Applied mathematical finance 19 (2012) 1/2, pp. 1-35
Persistent link: https://www.econbiz.de/10009561244
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On Cross-Currency Models with Stochastic Volatility and Correlated Interest Rates
Grzelak, Lech A. - 2014
We construct multi-currency models with stochastic volatility and correlated stochastic interest rates with a full matrix of correlations. We first deal with a foreign exchange (FX) model of Heston-type, in which the domestic and foreign interest rates are generated by the short-rate process of...
Persistent link: https://www.econbiz.de/10013069789
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Two-Factor Hull-White Model Revisited : Correlation Structure for Two-Factor Interest Rate Model in CVA Calculation
Tsuchiya, Osamu - 2020
interest rate instruments, de-correlation of the yield curve can be important even for the swap portfolio. Capturing the … correlation structure in the two-factor Hull-White model is an integral element of CVA (XVA) modeling. However, the correlation …, the correlation structure of the two-factor Hull-White model is analyzed in detail. The correlation structure of co …
Persistent link: https://www.econbiz.de/10012850076
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Factors’ Correlation in the Heath–Jarrow–Morton Interest Rate Model
Tchuindjo, Leonard - 2013
We propose a new derivation of the Heath–Jarrow–Morton risk-neutral drift restriction that takes into account nonzero instantaneous correlations between factors. The result allows avoiding the orthogonalization of factors and provides an approach by which interest rate derivatives can be...
Persistent link: https://www.econbiz.de/10013079559
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Macroeconomic news and stock-bond comovement
Duffee, Greg - In: Review of finance : journal of the European Finance … 27 (2023) 5, pp. 1859-1882
Persistent link: https://www.econbiz.de/10014391611
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How did the financial crisis alter the correlations of US yield spreads?
Contessi, Silvio; De Pace, Pierangelo; Guidolin, Massimo - In: Journal of empirical finance 28 (2014), pp. 362-385
Persistent link: https://www.econbiz.de/10011285619
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Economic linkages, relative scarcity, and commodity futures returns
Casassus, Jaime; Liu, Peng; Tang, Ke - In: The review of financial studies 26 (2013) 5, pp. 1324-1362
Persistent link: https://www.econbiz.de/10009752184