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Publications by Boris Leblanc

Path Dependent Options on Yields in the Affine Term Structure Model

Finance and Stochastics

English

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Valuation of Guaranteed Annuity Options in Affine Term Structure Models

SSRN Electronic Journal

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Change-Points in Affine Arbitrage-Free Term Structure Models

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Identification and Estimation of Gaussian Affine Term Structure Models

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Linear–quadratic Term Structure Models for Negative Euro Area Yields

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

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

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

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

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

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