Search Results - subject:"Short-rate Model"

Optimal portfolios with anticipating information on the stochastic interest rate

D’Auria, Bernardo; Salmeron, José A. - In: Decisions in economics and finance : a journal of … 48 (2025) 1, pp. 301-328

Persistent link: https://www.econbiz.de/10015593585

Asymmetric short-rate model without lower bound

Vrins, Frédéric; Wang, Linqi - In: Quantitative finance 23 (2023) 2, pp. 279-295

Persistent link: https://www.econbiz.de/10014232631

Risk-free rate caplets pricing by CTMC approximation

Liu, Fengming; Song, Yingda - In: Quantitative finance 24 (2024) 11, pp. 1579-1595

Persistent link: https://www.econbiz.de/10015196947

Bond pricing under Knightian uncertainty: A short rate model with drift and volatility uncertainty

Hölzermann, Julian - 2018

It is shown how to construct an arbitrage-free short rate model under uncertainty about the drift and the volatility …

Persistent link: https://www.econbiz.de/10012042120

Bond pricing under Knightian uncertainty : a short rate model with drift and volatility uncertainty

Hölzermann, Julian - 2018

It is shown how to construct an arbitrage-free short rate model under uncertainty about the drift and the volatility …

Persistent link: https://www.econbiz.de/10011891263

Efficient simulation methods for the Quasi-Gaussian term-structure model with volatility smiles : practical applications of the KLNV-scheme

Shinozaki, Yuji - In: Quantitative finance 21 (2021) 7, pp. 1147-1161

Persistent link: https://www.econbiz.de/10012588029

The valuation of European option under subdiffusive fractional Brownian motion of the short rate

Shokrollahi, Foad - In: International journal of theoretical and applied finance 23 (2020) 4, pp. 1-16

Persistent link: https://www.econbiz.de/10012284597

Level-ARCH Short Rate Models with Regime Switching: Bivariate Modeling of US and European Short Rates

Christiansen, Charlotte - School of Economics and Management, University of Aarhus - 2007

This paper introduces regime switching into level-ARCH models for the short rates of the US, the UK, and Germany. Once regime switching and level effects are included there are no gains from including ARCH effects. It is of secondary importance how the regime switching is specified. The...

Persistent link: https://www.econbiz.de/10005114127

Closed-form Arrow-Debreu pricing for the Hull-White short rate model

Turfus, C. - In: Quantitative finance 19 (2019) 12, pp. 2087-2094

Persistent link: https://www.econbiz.de/10015123065

Evaluation of mortgage default characteristics using Fannie Mae's loan performance data

Ahlawat, Samit - In: The journal of real estate finance and economics 59 (2019) 4, pp. 589-616

Persistent link: https://www.econbiz.de/10012385085