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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/10003790653
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Market price of risk specifications for affine models : theory and evidence
Cheridito, Patrick; Filipović, Damir; Kimmel, Robert - In: Journal of financial economics 83 (2007) 1, pp. 123-170
Persistent link: https://www.econbiz.de/10003410381
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The bond yield "conundrum" from a macro-finance perspective
Rudebusch, Glenn D. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003417803
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Markovian defaultable HJM term structure models with unspanned stochastic volatility
Chiarella, Carl; Chege Maina, Samuel; Nikitopoulos, … - 2010
Persistent link: https://www.econbiz.de/10008663092
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A survey of non-linear methods for no-arbitrage bond pricing
Chiarella, Carl; Hsiao, Chih-ying; Ming Xi Huang - 2010
Persistent link: https://www.econbiz.de/10008663098
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Local volatility dynamic models
Carmona, René; Nadtochiy, Sergey - In: Finance and stochastics 13 (2009) 1, pp. 1-48
Persistent link: https://www.econbiz.de/10003939465
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An asset pricing approach to testing general term structure models including Heath-Jarrow-Morton specifications and affine subclasses
Christensen, Bent Jesper; Wel, Michael van der - 2010
Persistent link: https://www.econbiz.de/10003947812
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An arbitrage-free generalized Nelson-Siegel term structure model
Christensen, Jens H. E.; Diebold, Francis X.; … - In: The econometrics journal 12 (2009) 3, pp. 33-64
Persistent link: https://www.econbiz.de/10003948816
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Die Zinsstrukturtheorie : eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet
Stoklossa, Harald - 2010 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003952238
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The affine arbitrage-free class of Nelson-Siegel term structure models
Christensen, Jens H. E. (contributor);  … - 2007
Persistent link: https://www.econbiz.de/10003586276