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Citations for " Term Structure Movements and Pricing Interest Rate Contingent Claims"

by Ho, Thomas S Y & Lee, Sang-bin

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  1. Rodriguez, J.C., 2007. "A Preference-Free Formula to Value Commodity Derivatives," Discussion Paper 2007-92, Tilburg University, Center for Economic Research.
  2. David K. Backus & Stanley E. Zin, 1993. "Long-memory inflation uncertainty: evidence from the term structure of interest rates," Proceedings, Federal Reserve Bank of Cleveland, pages 681-708.
  3. David K. Backus & Stanley E. Zin, 1994. "Reverse Engineering the Yield Curve," Working Papers 94-09, New York University, Leonard N. Stern School of Business, Department of Economics.
  4. Grant, Dwight & Vora, Gautam, 2006. "Extending the universality of the Heath-Jarrow-Morton model," Review of Financial Economics, Elsevier, vol. 15(2), pages 129-157.
  5. Francis X. Diebold & Canlin Li, 2002. "Forecasting the Term Structure of Government Bond Yields," Center for Financial Institutions Working Papers 02-34, Wharton School Center for Financial Institutions, University of Pennsylvania.
  6. Christian Gollier & Phoebe Koundouri & Theologos Pantelidis, 2008. "Declining discount rates: Economic justifications and implications for long-run policy," Economic Policy, CEPR;CES;MSH, vol. 23, pages 757-795, October.
  7. J. Aase Nielsen & Klaus Sandmann, 1996. "Uniqueness of the Fair Premium for Equity-Linked Life Insurance Contracts," The Geneva Risk and Insurance Review, Palgrave Macmillan, vol. 21(1), pages 65-102, June.
  8. Drijver, Sibrand J. & Klein Haneveld, Willem K. & Vlerk, Maarten H. van der, 2002. "ALM model for pension funds : numerical results for a prototype model," Research Report 02A44, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
  9. Ekvall, Niklas & Peter Jennergren, L. & Naslund, Bertil, 1997. "Currency option pricing with mean reversion and uncovered interest parity: A revision of the Garman-Kohlhagen model," European Journal of Operational Research, Elsevier, vol. 100(1), pages 41-59, July.
  10. Rogelio Maldonado Castaño & Natalia Zapata Rueda & Javier Orlando Pantoja Robayo, 2012. "Estimación dinámica de una estructura de tasas de interés para Colombia: análisis empírico con filtros de Kalman," DOCUMENTOS DE TRABAJO CIEF 010631, UNIVERSIDAD EAFIT.
  11. Hunt, Julien & Devolder, Pierre, 2011. "Semi-Markov regime switching interest rate models and minimal entropy measure," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 390(21), pages 3767-3781.
  12. Choi, Seungmoon, 2013. "Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions," Journal of Econometrics, Elsevier, vol. 174(2), pages 45-65.
  13. David Backus & Silverio Foresi & Chris Telmer, 1998. "Discrete-Time Models of Bond Pricing," NBER Working Papers 6736, National Bureau of Economic Research, Inc.
  14. Phoebe Koundouri & Theologos Pantelidis & Ben Groom & Ekaterini Panopoulou, 2007. "Discounting the distant future: How much does model selection affect the certainty equivalent rate?," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(3), pages 641-656.
  15. Yao, Yong, 1999. "Term structure modeling and asymptotic long rate," Insurance: Mathematics and Economics, Elsevier, vol. 25(3), pages 327-336, December.
  16. Andrew Jeffrey, 2004. "Nonparametric Estimation of a Multifactor Heath-Jarrow-Morton Model: An Integrated Approach," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(2), pages 251-289.
  17. Raj, Mahendra & Sim, Ah Boon & Thurston, David C., 1997. "A generalized method of moments comparison of the cox-ingersoll-ross and heath-jarrow-morton models," Journal of Economics and Business, Elsevier, vol. 49(2), pages 169-192.
  18. repec:wyi:journl:002108 is not listed on IDEAS
  19. Marcello Pericoli, 2014. "Real Term Structure and Inflation Compensation in the Euro Area," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 1-42, March.
  20. Ernesto Salinelli & Carlo Sgarra, 2005. "Correlation Matrices of yields and Total Positivity," Working Papers 109, SEMEQ Department - Faculty of Economics - University of Eastern Piedmont.
  21. Gibson, Rajna & Lhabitant, Francois-Serge & Talay, Denis, 2010. "Modeling the Term Structure of Interest Rates: A Review of the Literature," Foundations and Trends(R) in Finance, now publishers, vol. 5(1–2), pages 1-156, December.
  22. Dennis Kristensen, 2004. "A Semiparametric Single-Factor Model of the Term Structure," FMG Discussion Papers dp501, Financial Markets Group.
  23. repec:dgr:uvatin:19960169 is not listed on IDEAS
  24. Aase Nielsen, J. & Sandmann, Klaus, 1995. "Equity-linked life insurance: A model with stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 16(3), pages 225-253, July.
  25. Grant, Dwight & Vora, Gautam, 2003. "Analytical implementation of the Ho and Lee model for the short interest rate," Global Finance Journal, Elsevier, vol. 14(1), pages 19-47, May.
  26. Alejandro Balbás & Iván Blanco & Eliseo Navarro, 2013. "Equity, commodity and interest rate volatility derivatives," Business Economics Working Papers id-13-02, Universidad Carlos III, Instituto sobre Desarrollo Empresarial (INDEM).
  27. J.L. Prigent & O. Renault & O.Scaillet, 2000. "An Empirical Estimation in Credit Spread Indices," THEMA Working Papers 2000-51, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
  28. Les Clewlow & Chris Strickland, 1998. "Pricing Interest Rate Exotics in Multi-Factor Gaussian Interest Rate Models," Research Paper Series 2, Quantitative Finance Research Centre, University of Technology, Sydney.
  29. Raphaël Douady, 2014. "Yield Curve Smoothing and Residual Variance of Fixed Income Positions," Documents de travail du Centre d'Economie de la Sorbonne 14091, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  30. Vetzal, Kenneth R., 1997. "Stochastic volatility, movements in short term interest rates, and bond option values," Journal of Banking & Finance, Elsevier, vol. 21(2), pages 169-196, February.
  31. Ram Bhar & Carl Chiarella, 2000. "Approximating Heath-Jarrow-Morton Non-Markovian Term Structure of Interest Rate Models with Markovian Systems," Working Paper Series 76, Finance Discipline Group, UTS Business School, University of Technology, Sydney.
  32. Pietersz, R. & Pelsser, A.A.J., 2005. "A Comparison of Single Factor Markov-Functional and Multi Factor Market Models," ERIM Report Series Research in Management ERS-2005-008-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
  33. Alain Monfort & Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Centre de Recherche en Economie et Statistique.
  34. David Backus & Silverio Foresi & Stanley Zin, 1996. "Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires 96-8, New York University, Leonard N. Stern School of Business-.
  35. R. Bhar & C. Chiarella, 1997. "Transformation of Heath?Jarrow?Morton models to Markovian systems," The European Journal of Finance, Taylor & Francis Journals, vol. 3(1), pages 1-26.
  36. Leo Krippner, 2003. "Modelling the Yield Curve with Orthonomalised Laguerre Polynomials: An Intertemporally Consistent Approach with an Economic Interpretation," Working Papers in Economics 03/01, University of Waikato, Department of Economics.
  37. repec:dgr:uvatin:1996170 is not listed on IDEAS
  38. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  39. de Jong, F.C.J.M. & Wielhouwer, J.L., 2000. "The valuation and hedging of variable rate savings accounts," Other publications TiSEM d3f6f78c-0558-45f7-97af-c, Tilburg University, School of Economics and Management.
  40. Lesseig, Vance P. & Stock, Duane, 2000. "Impact of Correlation of Asset Value and Interest Rates upon Duration and Convexity of Risky Debt," Journal of Business Research, Elsevier, vol. 49(3), pages 289-301, September.
  41. Ubukata, M. & Fukushige, M., 2009. "Estimation and inference in the yield curve model with an instantaneous error term," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(9), pages 2938-2946.
  42. Nawalkha, Sanjay K., 1995. "The duration vector: A continuous-time extension to default-free interest rate contingent claims," Journal of Banking & Finance, Elsevier, vol. 19(8), pages 1359-1366, November.
  43. Gurupdesh Pandher, 2000. "Drift Estimation of Generalized Security Price Processes from High Frequency Derivative Prices," Review of Derivatives Research, Springer, vol. 4(3), pages 263-284, October.
  44. Yacine Ait-Sahalia, 1995. "Testing Continuous-Time Models of the Spot Interest Rate," NBER Working Papers 5346, National Bureau of Economic Research, Inc.
  45. Preda, Vasile & Dedu, Silvia & Sheraz, Muhammad, 2014. "New measure selection for Hunt–Devolder semi-Markov regime switching interest rate models," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 407(C), pages 350-359.
  46. Kalkbrener, Michael & Willing, Jan, 2004. "Risk management of non-maturing liabilities," Journal of Banking & Finance, Elsevier, vol. 28(7), pages 1547-1568, July.
  47. 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.
  48. Björk, Tomas & Gombani, Andrea, 1997. "Minimal Realizations of Forward Rates," SSE/EFI Working Paper Series in Economics and Finance 182, Stockholm School of Economics.
  49. Sorwar, Ghulam & Barone-Adesi, Giovanni & Allegretto, Walter, 2007. "Valuation of derivatives based on single-factor interest rate models," Global Finance Journal, Elsevier, vol. 18(2), pages 251-269.
  50. repec:dgr:kubcen:200792 is not listed on IDEAS
  51. Carl Chiarella & Sara Pasquali & Wolfgang Runggaldier, 2001. "On Filtering in Markovian Term Structure Models (An Approximation Approach)," Research Paper Series 65, Quantitative Finance Research Centre, University of Technology, Sydney.
  52. Schönbucher, Philipp J., 1996. "The Term Structure of Defaultable Bond Prices," Discussion Paper Serie B 384, University of Bonn, Germany.
  53. Henrard, Marc, 2007. "Skewed Libor Market Model and Gaussian HJM explicit approaches to rolled deposit options," MPRA Paper 1534, University Library of Munich, Germany.
  54. Mateti, Ravi S. & Hegde, Shantaram P. & Puri, Tribhuvan, 2013. "Pricing securities with multiple risks: A case of exchangeable debt," Journal of Banking & Finance, Elsevier, vol. 37(3), pages 1018-1028.
  55. Björk, Tomas & Landen, Camilla, 2000. "On the construction of finite dimensional realizations for nonlinear forward rate models," SSE/EFI Working Paper Series in Economics and Finance 420, Stockholm School of Economics.
  56. Robert R. Bliss & Ehud I. Ronn, 1997. "Callable U.S. Treasury bonds: optimal calls, anomalies, and implied volatilities," Working Paper 97-1, Federal Reserve Bank of Atlanta.
  57. Bjork, Tomas, 2009. "Arbitrage Theory in Continuous Time," OUP Catalogue, Oxford University Press, edition 3, number 9780199574742.
  58. Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 93(1), pages 205-223, August.
  59. Bo Young Chang & Bruno Feunou, 2013. "Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility," Working Papers 13-37, Bank of Canada.
  60. David F. Babbel & Craig Merrill, 1997. "Economic Valuation Models for Insurers," Center for Financial Institutions Working Papers 97-44, Wharton School Center for Financial Institutions, University of Pennsylvania.
  61. Lin, Bing-Huei, 1999. "Fitting the term structure of interest rates for Taiwanese government bonds," Journal of Multinational Financial Management, Elsevier, vol. 9(3-4), pages 331-352, November.
  62. Ioannides, Michalis, 2003. "A comparison of yield curve estimation techniques using UK data," Journal of Banking & Finance, Elsevier, vol. 27(1), pages 1-26, January.
  63. Thuraisamy, Kannan Sivananthan, 2014. "Intra-market sovereign linkages of key Latin American markets," Economic Systems, Elsevier, vol. 38(2), pages 140-160.
  64. Ballotta, Laura & Haberman, Steven, 2003. "Valuation of guaranteed annuity conversion options," Insurance: Mathematics and Economics, Elsevier, vol. 33(1), pages 87-108, August.
  65. Maria Iovino, 1997. "Futures options with futures-style margining in the Gaussian models setting," Decisions in Economics and Finance, Springer, vol. 20(1), pages 3-21, June.
  66. Casassus, Jaime & Collin-Dufresne, Pierre & Goldstein, Bob, 2005. "Unspanned stochastic volatility and fixed income derivatives pricing," Journal of Banking & Finance, Elsevier, vol. 29(11), pages 2723-2749, November.
  67. Junwu Gan, 2001. "Analytically inducting option cash flows for Markovian interest rate models: A new application paradigm," Finance 0110003, EconWPA.
  68. Fan, Longzhen & Johansson, Anders C., 2009. "China'S Official Rates And Bond Yields," Working Paper Series 2009-3, China Economic Research Center, Stockholm School of Economics.
  69. Gonzalo Cortazar & Eduardo S. Schwartz & Lorenzo F. Naranjo, 2007. "Term-structure estimation in markets with infrequent trading," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 12(4), pages 353-369.
  70. Das, Sanjiv Ranjan, 1998. "A direct discrete-time approach to Poisson-Gaussian bond option pricing in the Heath-Jarrow-Morton model," Journal of Economic Dynamics and Control, Elsevier, vol. 23(3), pages 333-369, November.
  71. Sommer, Daniel, 1994. "Continuous-Time Limits in the Generalized Ho-Lee Framework under the Forward Measure," Discussion Paper Serie B 276, University of Bonn, Germany, revised Jul 1996.
  72. Massimo Costabile & Ivar Massab� & Emilio Russo, 2013. "A Path-Independent Humped Volatility Model for Option Pricing," Applied Mathematical Finance, Taylor & Francis Journals, vol. 20(3), pages 191-210, July.
  73. Koch, Inge & Schepper, Ann De, 2007. "An application of comonotonicity and convex ordering to present values with truncated stochastic interest rates," Insurance: Mathematics and Economics, Elsevier, vol. 40(3), pages 386-402, May.
  74. Luca Erzegovesi, 1999. "Rischio e incertezza in finanza: classificazione e logiche di gestione," Alea Tech Reports 006, Department of Computer and Management Sciences, University of Trento, Italy, revised 14 Jun 2008.
  75. Jeanblanc, Monique & Dana, Rose-Anne, 2007. "Financial markets in continuous time," Economics Papers from University Paris Dauphine 123456789/5374, Paris Dauphine University.
  76. Björk, Tomas, 2000. "A Geometric View of Interest Rate Theory," SSE/EFI Working Paper Series in Economics and Finance 419, Stockholm School of Economics, revised 21 Dec 2000.
  77. Javier Giner & Sandra Morini, 2001. "Improving the Quality of the Input in the Term Structure Consistent Models," CSEF Working Papers 70, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  78. De Rossi, Giuliano, 2004. "Kalman filtering of consistent forward rate curves: a tool to estimate and model dynamically the term structure," Journal of Empirical Finance, Elsevier, vol. 11(2), pages 277-308, March.
  79. Carl Chiarella & Oh Kwon, 2003. "Finite Dimensional Affine Realisations of HJM Models in Terms of Forward Rates and Yields," Review of Derivatives Research, Springer, vol. 6(2), pages 129-155, May.
  80. repec:dgr:uvatin:2096170 is not listed on IDEAS
  81. Björk, Tomas & Christensen, Bent Jesper, 1997. "Interest Rate Dynamics and Consistent Forward Rate Curves," SSE/EFI Working Paper Series in Economics and Finance 209, Stockholm School of Economics.
  82. Gupta, Anurag & Subrahmanyam, Marti G., 2005. "Pricing and hedging interest rate options: Evidence from cap-floor markets," Journal of Banking & Finance, Elsevier, vol. 29(3), pages 701-733, March.
  83. Sodhi, ManMohan S. & Tang, Christopher S., 2009. "Modeling supply-chain planning under demand uncertainty using stochastic programming: A survey motivated by asset-liability management," International Journal of Production Economics, Elsevier, vol. 121(2), pages 728-738, October.
  84. Wilhelm, Jochen, 2001. "Option Prices with Stochastic Interest Rates: Black/Scholes and Ho/Lee unified," Passauer Diskussionspapiere, Betriebswirtschaftliche Reihe 8, University of Passau, Faculty of Business and Economics.
  85. Albeverio, Sergio & Lytvynov, Eugene & Mahnig, Andrea, 2004. "A model of the term structure of interest rates based on Lévy fields," Stochastic Processes and their Applications, Elsevier, vol. 114(2), pages 251-263, December.
  86. repec:dgr:vuarem:1997-10 is not listed on IDEAS
  87. Johannes Leitner, 2000. "Convergence of Arbitrage-free Discrete Time Markovian Market Models," CoFE Discussion Paper 00-07, Center of Finance and Econometrics, University of Konstanz.
  88. Gregory R. Duffee, 1994. "On measuring credit risks of derivative instruments," Finance and Economics Discussion Series 94-27, Board of Governors of the Federal Reserve System (U.S.).
  89. Fabio Mercurio & Juan Moraleda, 2001. "A family of humped volatility models," The European Journal of Finance, Taylor & Francis Journals, vol. 7(2), pages 93-116.
  90. Kimmel, Robert L., 2004. "Modeling the term structure of interest rates: A new approach," Journal of Financial Economics, Elsevier, vol. 72(1), pages 143-183, April.
  91. Zura Kakushadze, 2014. "Path Integral and Asset Pricing," Papers 1410.1611, arXiv.org.
  92. Qiang Fu, 1996. "On the valuation of an option to exchange one interest rate for another," Journal of Banking & Finance, Elsevier, vol. 20(4), pages 645-653, May.
  93. J. A. Nielsen & K. Sandmann, 1996. "The pricing of Asian options under stochastic interest rates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 3(3), pages 209-236.
  94. Mercurio, F. & Moraleda, J. M., 2000. "An analytically tractable interest rate model with humped volatility," European Journal of Operational Research, Elsevier, vol. 120(1), pages 205-214, January.
  95. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Papers 2013-10-14, Working Paper.
  96. Jean-Philippe Bouchaud & Nicolas Sagna & Rama Cont & Nicole El-Karoui & Marc Potters, 1999. "Phenomenology of the interest rate curve," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(3), pages 209-232.
  97. Anna Rita Bacinello & Fulvio Ortu, 1999. "Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates," Applied Mathematical Finance, Taylor & Francis Journals, vol. 6(4), pages 293-312.
  98. J. Doyne Farmer & John Geanakoplos, 2009. "Hyperbolic discounting is rational: Valuing the far future with uncertain discount rates," Levine's Working Paper Archive 814577000000000356, David K. Levine.
  99. Alexei Onatski & Slava Kargin, 2004. "Dynamics of Interest Rate Curve by Functional Auto-regression," Econometric Society 2004 North American Summer Meetings 229, Econometric Society.
  100. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736, Spring.
  101. David Daewhan Cho, 2004. "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings 431, Econometric Society.
  102. Zhou, Anjun, 2002. "Modeling the volatility of the Heath-Jarrow-Morton model: a multifactor GARCH analysis," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 35-56, January.
  103. L. Ingber & M.F. Wehner & G.M. Jabbour & T.M. Barnhill, 1991. "Application of statistical mechanics methodology to term-structure bond-pricing models," Lester Ingber Papers 91as, Lester Ingber.
  104. Koo, Bonsoo & Linton, Oliver, 2012. "Estimation of semiparametric locally stationary diffusion models," Journal of Econometrics, Elsevier, vol. 170(1), pages 210-233.
  105. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55.
  106. Mitra, Sovan & Date, Paresh & Mamon, Rogemar & Wang, I-Chieh, 2013. "Pricing and risk management of interest rate swaps," European Journal of Operational Research, Elsevier, vol. 228(1), pages 102-111.
  107. Hsu, Jason C. & Saa-Requejo, Jesus & Santa-Clara, Pedro, 2003. "Bond Pricing with Default Risk," University of California at Los Angeles, Anderson Graduate School of Management qt5bb1j39q, Anderson Graduate School of Management, UCLA.
  108. San-Lin Chung, 2000. "American option valuation under stochastic interest rates," Review of Derivatives Research, Springer, vol. 3(3), pages 283-307, October.
  109. Duan, Jin-Chuan & Jacobs, Kris, 2008. "Is long memory necessary? An empirical investigation of nonnegative interest rate processes," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 567-581, June.
  110. Emma Berenguer-Carceles & Ricardo Gimeno & Juan M. Nave, 2012. "Estimation of the Term Structure of Interest Rates: Methodology and Applications," Working Papers 12.06, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  111. Dmitry Muravey, 2014. "Interest rate models and Whittaker functions," Papers 1405.2459, arXiv.org.
  112. repec:dgr:uvatin:2096169 is not listed on IDEAS
  113. Phelim Boyle & Ken Seng Tan & Weidong Tian, 2001. "Calibrating the Black-Derman-Toy model: some theoretical results," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(1), pages 27-48.
  114. Terry Marsh & Takao Kobayashi, 2001. "The Contributions of Professors Fischer Black, Robert Merton, and Myron Scholes to the Financial Services Industry," CIRJE F-Series CIRJE-F-120, CIRJE, Faculty of Economics, University of Tokyo.
  115. Anders B. Trolle & Eduardo S. Schwartz, 2009. "A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives," Review of Financial Studies, Society for Financial Studies, vol. 22(5), pages 2007-2057, May.
  116. Junwu Gan, 2005. "Analytic Backward Induction Of Option Cash Flows: A New Application Paradigm For The Markovian Interest Rate Models," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 8(08), pages 1019-1057.
  117. Alaeddine Faleh & Frédéric Planchet & Didier Rullière, 2010. "Les Générateurs de Scénarios Économiques : quelle utilisation en assurance ?," Post-Print hal-00433037, HAL.
  118. Jin-Chuan Duan & Kris Jacobs, 2001. "Short and Long Memory in Equilibrium Interest Rate Dynamics," CIRANO Working Papers 2001s-22, CIRANO.
  119. Adkins, Lee C. & Krehbiel, Timothy, 1999. "Mean reversion and volatility of short-term London Interbank Offer Rates: An empirical comparison of competing models," International Review of Economics & Finance, Elsevier, vol. 8(1), pages 45-54, January.
  120. Bo, Lijun, 2011. "Exponential change of measure applied to term structures of interest rates and exchange rates," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 216-225, September.
  121. Claus Munk, 1999. "Stochastic duration and fast coupon bond option pricing in multi-factor models," Review of Derivatives Research, Springer, vol. 3(2), pages 157-181, May.
  122. Klaas Schulze, 2008. "Asymptotic Maturity Behavior of the Term Structure," Bonn Econ Discussion Papers bgse11_2008, University of Bonn, Germany.
  123. Ram Bhar & Carl Chiarella & Thuy Duong To, 2002. "A Maximum Likelihood Approach to Estimation of Heath-Jarrow-Morton Models," Research Paper Series 80, Quantitative Finance Research Centre, University of Technology, Sydney.
  124. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  125. Hans-Peter Bermin, 2012. "Bonds and Options in Exponentially Affine Bond Models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 19(6), pages 513-534, December.
  126. Christopher M. Bilson & Timothy J. Brailsford & Luke J. Sullivan & Sirimon Treepongkaruna, 2008. "Pricing Bonds in the Australian Market," Australian Journal of Management, Australian School of Business, vol. 33(1), pages 123-143, June.
  127. Michael J. Fleming & Eli M Remolona, 1999. "The term structure of announcement effects," BIS Working Papers 71, Bank for International Settlements.
  128. Chenghu Ma, 2003. "Term Structure of Interest Rates in the Presence of Levy Jumps: The HJM Approach," Annals of Economics and Finance, Society for AEF, vol. 4(2), pages 401-426, November.
  129. Abaffy, Jozsef & Bertocchi, Marida & Gnudi, Adriana, 2005. "Extensions of the Ho and Lee interest-rate model to the multinomial case," European Journal of Operational Research, Elsevier, vol. 163(1), pages 154-169, May.
  130. Björk, T. & Kabanov, Y. & Runggaldier, W., 1995. "Bond markets where prices are driven by a general marked point process," SSE/EFI Working Paper Series in Economics and Finance 88, Stockholm School of Economics.
  131. Yu, Wei-Choun & Zivot, Eric, 2011. "Forecasting the term structures of Treasury and corporate yields using dynamic Nelson-Siegel models," International Journal of Forecasting, Elsevier, vol. 27(2), pages 579-591, April.
  132. Nawalkha, Sanjay K. & Chambers, Donald R., 1995. "A note on currency option pricing," International Review of Financial Analysis, Elsevier, vol. 4(1), pages 81-84.
  133. Berardi, Andrea, 1995. "Estimating the Cox, ingersoll and Ross model of the term structure: a multivariate approach," Ricerche Economiche, Elsevier, vol. 49(1), pages 51-74, March.
  134. Peter Ritchken & Iyuan Chuang, 1997. "Interest rate option pricing with volatility humps," Working Paper 9714, Federal Reserve Bank of Cleveland.
  135. Moreno, Manuel & Platania, Federico, 2015. "A cyclical square-root model for the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 241(1), pages 109-121.
  136. Riccardo Rebonato, 1997. "A class of arbitrage-free log-normal-short-rate two-factor models," Applied Mathematical Finance, Taylor & Francis Journals, vol. 4(4), pages 223-236.
  137. Tatyana Krivobokova & Göran Kauermann & Theofanis Archontakis, 2006. "Estimating the term structure of interest rates using penalized splines," Statistical Papers, Springer, vol. 47(3), pages 443-459, June.
  138. Mireille Bossy & Rajna Gibson & Francois-Serge Lhabitant & Nathalie Pistre & Denis Talay, 2006. "Model misspecification analysis for bond options and Markovian hedging strategies," Review of Derivatives Research, Springer, vol. 9(2), pages 109-135, September.
  139. Flavio Angelini & Stefano Herzel, 2006. "Notes and Comments: An approximation of caplet implied volatilities in Gaussian models," Decisions in Economics and Finance, Springer, vol. 28(2), pages 113-127, 02.
  140. 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.
  141. Kuo, I-Doun & Lin, Yueh-Neng, 2009. "Empirical performance of multifactor term structure models for pricing and hedging Eurodollar futures options," Review of Financial Economics, Elsevier, vol. 18(1), pages 23-32, January.
  142. Sanjiv Ranjan Das, 1997. "An Efficient Generalized Discrete-Time Approach to Poisson-Gaussian Bond Option Pricing in the Heath-Jarrow-Morton Model," NBER Technical Working Papers 0212, National Bureau of Economic Research, Inc.
  143. Barone-Adesi, Giovanni & Bermudez, Ana & Hatgioannides, John, 2003. "Two-factor convertible bonds valuation using the method of characteristics/finite elements," Journal of Economic Dynamics and Control, Elsevier, vol. 27(10), pages 1801-1831, August.
  144. Geert Bekaert & Steven R. Grenadier, 1999. "Stock and Bond Pricing in an Affine Economy," NBER Working Papers 7346, National Bureau of Economic Research, Inc.
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