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Observational equivalence of discrete string models and market models
Kerkhof, Jeroen; Pelsser, Antoon André Jean - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 55-61
Persistent link: https://www.econbiz.de/10001718690
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Observational equivalence of dicrete string models and market models
Kerkhof, Jeroen (contributor);  … - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001661008
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Observational Equivalence of Discrete String Models and Market Models
Kerkhof, Jeroen - 2001
In this paper we show that contrary to the claim made in Longstaff, Santa-Clara, and Schwartz (2000a) and Longstaff, Santa-Clara, and Schwartz (2000b) discrete string models are not more parsimonious than market models. In fact, they are found to be observationally equivalent. We derived that...
Persistent link: https://www.econbiz.de/10012742086
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Observational Equivalence of Discrete String Models and Market Models
Kerkhof, Jeroen; Pelsser, Antoon - In: The journal of derivatives : the official publication … 10 (2002) 1, pp. 55-61
Persistent link: https://www.econbiz.de/10005940819
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Introduction to inflation derivatives
Kerkhof, Franciscus Lambertus Johannes - 2008
Persistent link: https://www.econbiz.de/10003764263
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Valuing inflation derivatives
Kerkhof, Franciscus Lambertus Johannes - 2008
Persistent link: https://www.econbiz.de/10003765791
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Factor dependence and estimation risk for cap-related interest rat exotics
Kerkhof, Franciscus Lambertus Johannes - In: The journal of fixed income 15 (2006) 4, pp. 74-83
Persistent link: https://www.econbiz.de/10003339423
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Backtesting for risk-based regulatory capital
Kerkhof, Franciscus Lambertus Johannes; Melenberg, Bertrand - In: Journal of banking & finance 28 (2004) 8, pp. 1845-1865
Persistent link: https://www.econbiz.de/10002118324
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Model risk and capital reserves
Kerkhof, Franciscus Lambertus Johannes; Melenberg, Bertrand - In: Journal of banking & finance 34 (2010) 1, pp. 267-279
Persistent link: https://www.econbiz.de/10003906302
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Model risk and regulatory capital
Kerkhof, Jeroen (contributor);  … - 2002 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001661005