A general characterization of one factor affine term structure models
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Nicola Bruti-Liberati & Christina Nikitopoulos-Sklibosios & Eckhard Platen, 2010. "Real-world jump-diffusion term structure models," Quantitative Finance, Taylor & Francis Journals, vol. 10(1), pages 23-37.
- Ronnie L. Loeffen & Pierre Patie, 2010. "Absolute ruin in the Ornstein-Uhlenbeck type risk model," Papers 1006.2712, arXiv.org.
- Vicente, José & Tabak, Benjamin M., 2008.
"Forecasting bond yields in the Brazilian fixed income market,"
International Journal of Forecasting,
Elsevier, vol. 24(3), pages 490-497.
- Jose Vicente & Benjamin M. Tabak, 2007. "Forecasting Bonds Yields in the Brazilian Fixed Income Market," Working Papers Series 141, Central Bank of Brazil, Research Department.
- Peng Cheng & Olivier Scaillet, 2002.
"Linear-Quadratic Jump-Diffusion Modeling with Application to Stochastic Volatility,"
FAME Research Paper Series
rp67, International Center for Financial Asset Management and Engineering.
- Olivier Scaillet., 2003. "Linear-Quadratic Jump-Diffusion Modelling with Application to Stochastic Volatility," THEMA Working Papers 2003-29, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2017. "Asymptotic properties of maximum likelihood estimator for the growth rate of a stable CIR process based on continuous time observations," Papers 1711.02140, arXiv.org, revised May 2018.
- Martin Keller-Ressel & Thomas Steiner, 2008. "Yield curve shapes and the asymptotic short rate distribution in affine one-factor models," Finance and Stochastics, Springer, vol. 12(2), pages 149-172, April.
- Matyas Barczy & Mohamed Ben Alaya & Ahmed Kebaier & Gyula Pap, 2016. "Asymptotic properties of maximum likelihood estimator for the growth rate for a jump-type CIR process based on continuous time observations," Papers 1609.05865, arXiv.org, revised Aug 2017.
- Steven Heston, 2007. "A model of discontinuous interest rate behavior, yield curves, and volatility," Review of Derivatives Research, Springer, vol. 10(3), pages 205-225, December.
- Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Working Papers hal-01275397, HAL.
- Renata Rendek, 2013. "Modeling Diversified Equity Indices," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 23, June.
- Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January.
- Tetsuya Ishikawa & Scott Robertson, 2017. "Optimal Investment and Pricing in the Presence of Defaults," Papers 1703.00062, arXiv.org.
- Enlin Pan & Liuren Wu, 2004. "Taking Positive Interest Rates Seriously," Finance 0409013, EconWPA.
- Ying Jiao & Chunhua Ma & Simone Scotti, 2016. "Alpha-CIR Model with Branching Processes in Sovereign Interest Rate Modelling," Papers 1602.05541, arXiv.org, revised Feb 2016.
- Andrey Itkin & Peter Carr, 2010. "Pricing swaps and options on quadratic variation under stochastic time change models—discrete observations case," Review of Derivatives Research, Springer, vol. 13(2), pages 141-176, July.
- Massoud Heidari & Liuren WU, 2002. "Are Interest Rate Derivatives Spanned by the Term Structure of Interest Rates?," Finance 0207013, EconWPA.
- Duffie, Darrell, 2003. "Intertemporal asset pricing theory," Handbook of the Economics of Finance,in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 11, pages 639-742 Elsevier.
More about this item
KeywordsAffine Term Structure Models; CBI-Processes; Infinitely Decomposable Processes; Non-continuous Markovian Short Rates;
- E43 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Interest Rates: Determination, Term Structure, and Effects
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:finsto:v:5:y:2001:i:3:p:389-412. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla) or (Rebekah McClure). General contact details of provider: http://www.springer.com .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.