Search Results - subject:"Gaussian term structure model"

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A term structure interest rate model with the Brownian bridge lower bound

Kikuchi, Kentaro - In: Annals of finance 20 (2024) 3, pp. 301-328

Persistent link: https://www.econbiz.de/10015188737

Design and Estimation of a Quadratic Term Structure Model with a Mixture of Normal Distributions

Kikuchi, Kentaro - Institute for Monetary and Economic Studies, Bank of Japan - 2012

To keep yields non-negative in a quadratic Gaussian term structure model (QGTM), the short rate is represented by the …

Persistent link: https://www.econbiz.de/10010819391

Term-structure modelling at the zero lower bound : implications for estimating the forward term premium

Chung, Tsz Kin; Hui, Cho H.; Li, Ka Fai - In: Finance research letters 21 (2017), pp. 100-106

Persistent link: https://www.econbiz.de/10011807514

Fast swaption pricing in Gaussian term structure models

Choi, Jaehyuk; Shin, Sungchan - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 962-982

Persistent link: https://www.econbiz.de/10011583816

An Extended Structural Credit Risk Model (forthcoming in the Icfai Journal of Financial Risk Management; all copyrights rest with the Icfai University Press)

Realdon, Marco - Department of Economics and Related Studies, University … - 2007

This paper presents an extended structural credit risk model that pro- vides closed form solutions for fixed and floating coupon bonds and credit default swaps. This structural model is an "extended" one in the following sense. It allows for the default free term structure to be driven by the a...

Persistent link: https://www.econbiz.de/10005524002