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New no-arbitrage conditions and the term structure of interest rate futures
Miltersen, Kristian R.; Aase Nielsen, Jørgen; … - In: Annals of finance 2 (2006) 3, pp. 303-325
Persistent link: https://www.econbiz.de/10003338003
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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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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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Arbitrage-free affine models of the forward price of foreign currency
Durham, J. Benson - 2014
Forward foreign exchange contracts embed not only expected depreciation but also a sizable premium, which complicates inferences about anticipated returns. This study derives arbitrage-free affine forward currency models (AFCMs) with closed-form expressions for both unobservable variables. Model...
Persistent link: https://www.econbiz.de/10010393225
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Gauß-Zinsmodelle und Bewertung an der Deutschen Terminbörse
Madjlessi, Foruhar - 1996
Persistent link: https://www.econbiz.de/10000964136
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An Arbitrage-Free Nelson-Siegel Term Structure Model with Stochastic Volatility for the Determination of Currency Risk Premia
Mouabbi, Sarah - 2015
Arbitrage-Free class of dynamic Nelson-Siegel term structure models with stochastic volatility to obtain the domestic and …
Persistent link: https://www.econbiz.de/10013031582
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Die Zinsstrukturtheorie : Eine Analyse der Faktoren, Arbitrage und Volatilität für das Euro-Währungsgebiet
Stoklossa, Harald - 2010
DIE METHODISCHE GRUNDLEGUNG -- AUSGANGSBASIS: DIE BESTEHENDE ZINSSTRUKTURKURVE -- DIE ÄLTEREN THEORIEN ZUR ZINSSTRUKTUR … -- DIE GRUNDMODELLE DER ZINSSTRUKTUR -- DIE DETERMINISTISCHEN FAKTOREN ZUR ZINSSTRUKTUR -- DIE SUBSTITUTIVEN … ARBITRAGEPROZESSE ZUR ZINSSTRUKTUR -- DIE STOCHASTISCHEN VOLATILITÄTEN DER ZINSSTRUKTUR -- ERKLÄRUNGS- & PROGNOSEMODELL ZUR ZINSSTRUKTUR. …
Persistent link: https://www.econbiz.de/10014425190
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No arbitrage priors, drifting volatilites, and the term structure of interest rates
Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - 2014
Persistent link: https://www.econbiz.de/10010363319
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Arbitrage-Free Rate Interpolation Scheme for Libor Market Model with Smooth Volatility Term Structure
Werpachowski, Roman - 2010
The Libor Market Model describes the evolution of a discrete subset of all interest rates quoted in the market. Generation of the complete yield curve from a simulated set of rates (the so-called "Libor rate interpolation") is one of the basic challenges which are faced by a practical user of...
Persistent link: https://www.econbiz.de/10013134893