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Purebred or hybrid? : reproducing the volatility in term structure dynamics

Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald; … - In: Journal of econometrics 116 (2003) 1/2, pp. 147-180

Persistent link: https://www.econbiz.de/10001772146

Purebred or hybrid?: Reproducing the volatility in term structure dynamics

Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald; … - In: Journal of Econometrics 116 (2003) 1-2, pp. 147-180

Persistent link: https://www.econbiz.de/10005238939

Quadratic term structure models : theory and evidence

Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald - In: The review of financial studies 15 (2002) 1, pp. 243-288

Persistent link: https://www.econbiz.de/10001639617

Purebred or hybrid?: Reproducing the volatility in term structure dynamics

Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A.Ronald; … - In: Journal of econometrics 116 (2003) 1, pp. 147-180

Persistent link: https://www.econbiz.de/10006761941

Quadratic Term Structure Models : Theory and Evidence

Ahn, Dong-Hyun - 2006

This paper theoretically explores the characteristics underpinning quadratic term structure models, QTSMs, which designate the yield on a bond as a quadratic function of underlying state variables. We develop a comprehensive QTSM, which is maximally flexible and thus encompasses the features of...

Persistent link: https://www.econbiz.de/10012783941

Quadratic Term Structure Models : Theory and Evidence

Ahn, Dong-Hyun - 2001

This paper theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying state variables. We develop a comprehensive QTSM, which is maximally flexible and thus encompasses the features of...

Persistent link: https://www.econbiz.de/10012742957

Quadratic Term Structure Models: Theory and Evidence

Ahn, Dong-Hyun; Dittmar, Robert F.; Gallant, A. Ronald - In: The review of financial studies 15 (2013) 1, pp. 243-242

Persistent link: https://www.econbiz.de/10010114319

Pricing discrete barrier options with an adaptive mesh model

Ahn, Dong-Hyun; Figlewski, Stephen; Gao, Bin - In: The journal of derivatives : the official publication … 6 (1999) 4, pp. 33-43

Persistent link: https://www.econbiz.de/10001432450

Locally complete markets, exchange rates and currency options

Ahn, Dong-Hyun; Gao, Bin - In: Review of derivatives research 6 (2003) 1, pp. 5-26

Persistent link: https://www.econbiz.de/10001772396

Basic assets

Ahn, Dong-Hyun; Conrad, Jennifer S.; Dittmar, Robert F. - In: The review of financial studies 22 (2009) 12, pp. 5133-5174

Persistent link: https://www.econbiz.de/10003916318

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