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Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Kraft, Holger - In: International journal of theoretical and applied finance 12 (2009) 6, pp. 767-796
Persistent link: https://www.econbiz.de/10003911240
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The cross-section and time series of stock and bond returns
Koijen, Ralph S. J.; Lustig, Hanno; Nieuwerburgh, Stijn van - 2010
"We propose an arbitrage-free stochastic discount factor (SDF) model that jointly prices the cross-section of returns on portfolios of stocks sorted on book-to-market dimension, the cross-section of government bonds sorted by maturity, the dynamics of bond yields, and time series variation in...
Persistent link: https://www.econbiz.de/10003933912
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Model misspecification analysis for bond options and Markovian hedging strategies
Bossy, Mireille; Gibson, Rajna; Lhabitant, François-Serge - In: Review of derivatives research 9 (2006) 2, pp. 109-135
Persistent link: https://www.econbiz.de/10003608131
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Essays on financial econometrics : modeling the term structure of interest rates
Bouwman, Kees Evert - 2008
Persistent link: https://www.econbiz.de/10003671104
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On some inconsistencies in modeling credit portfolio products
Fabozzi, Frank J.; Tunaru, Radu - In: International journal of theoretical and applied finance 10 (2007) 8, pp. 1305-1321
Persistent link: https://www.econbiz.de/10003632081
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Pricing under the real-world probability measure for jump-diffusion term structure models
Bruti-Liberati, Nicola; Nikitopoulos, Christina Sklibosios - 2007
Persistent link: https://www.econbiz.de/10003685202
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Equity market risk, credit risk and real investment risk
Hsu, Jason C. - 2005
Persistent link: https://www.econbiz.de/10003380221
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A habit-based explanation of the exchange rate risk premium
Verdelhan, Adrien - 2005
Persistent link: https://www.econbiz.de/10003380904
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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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Using the Black-Derman-Toy interest rate model for portfolio optimization
Weissensteiner, Alex - In: European journal of operational research : EJOR 202 (2010) 1, pp. 175-181
Persistent link: https://www.econbiz.de/10003960067