In jüngerer Zeit sind im professionellen Portfoliomanagement zunehmend Faktorenmodelle in den Vordergrund bei der Investment-Analyse gerückt und haben klassische Modelle wie das CAPM mehr und mehr verdrängt. Charakte-ristisch für diese Modelle ist, daß lediglich ein...

Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance. Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such as risk management and estimation of the cost of...

This paper proposes a simple and unifying model to price the interest rate contingent claims in a complete market where trading can be made in continuous time. The underlying dynamics of the yield curve is modelled by a random string whose trajectory produces a random surface described by a...

Linear asset-pricing relations, with macroeconomic factors as state variables, have found wide usein empirical finance. Applications of such relations range from academic studies of market efficiency andmarket anomalies to practical uses such as risk management and estimation of the cost of...