Path Dependent Options on Yields in the Affine Term Structure Model

Finance and Stochastics - Germany
doi 10.1007/s007800050045
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Springer Science and Business Media LLC

Related search

Valuation of Guaranteed Annuity Options in Affine Term Structure Models

SSRN Electronic Journal
2005English

Change-Points in Affine Arbitrage-Free Term Structure Models

Journal of Financial Econometrics
EconomicsEconometricsFinance
2012English

Identification and Estimation of Gaussian Affine Term Structure Models

SSRN Electronic Journal
2010English

Linear–quadratic Term Structure Models for Negative Euro Area Yields

Economics Letters
EconomicsFinanceEconometrics
2017English

Expectation Puzzles, Time-Varying Risk Premia, and Affine Models of the Term Structure

Journal of Financial Economics
ManagementFinanceEconomicsStrategyAccountingEconometrics
2002English

Direct Estimation of the Risk Neutral Factor Dynamics of Affine Term Structure Models

SSRN Electronic Journal
1998English

Analyzing Interest Rate Risk: Stochastic Volatility in the Term Structure of Government Bond Yields

Journal of Banking and Finance
EconomicsEconometricsFinance
2012English

Identification and Estimation of Gaussian Affine Term Structure Models With Regime Switching

Journal of Mathematical Finance
2014English

Secondary Capital Markets, Long-Run Growth, and the Term Structure of Asset Yields

International Economic Review
EconomicsEconometrics
2000English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy