Search Results - subject:"quadratic term structure"

Efficent pricing of barrier options and credit default swapts in Lévy models with stochastic interest rate

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: Mathematical finance : an international journal of … 27 (2017) 4, pp. 1089-1123

Persistent link: https://www.econbiz.de/10011765022

Linear-quadratic term structure models for negative euro area yields

Realdon, Marco; Boonyanet, Wachira - In: Economics letters 155 (2017), pp. 149-153

Persistent link: https://www.econbiz.de/10011821635

Quadratic variance swap models

Filipović, Damir; Gourier, Elise; Mancini, Loriano - In: Journal of financial economics 119 (2016) 1, pp. 44-68

Persistent link: https://www.econbiz.de/10011589703

Credit and liquidity in interbank rates : a quadratic approach

Dubecq, Simon; Monfort, Alain; Renne, Jean-Paul; … - In: Journal of banking & finance 68 (2016), pp. 29-46

Persistent link: https://www.econbiz.de/10011634788

A regime-switching model to evaluate bonds in a quadratic term structure of interest rates

Boroumand, Raphaël Homayoun; Goutte, Stéphane; … - In: Applied financial economics 24 (2014) 19/21, pp. 1361-1366

Persistent link: https://www.econbiz.de/10010460151

Equity Valuation Under Stochastic Interest Rates

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

setting whereby the short term interest rate is modelled by a quadratic term structure model. Earnings are driven by mean …

Persistent link: https://www.econbiz.de/10005523978

Quadratic Term Structure Models in Discrete Time

Realdon, Marco - Department of Economics and Related Studies, University … - 2006

This paper extends the results on quadratic term structure models in continuos time to the discrete time setting. The …

Persistent link: https://www.econbiz.de/10005129640

General quadratic term structures of bond, futures and forward prices

Gaspar, Raquel M. - 2004

For finite dimensional factor models, the paper studies general quadratic term structures. These term structures include as special cases the affine term structures and the Gaussian quadratic term structures, previously studied in the literature. We show, however, that there are other,...

Persistent link: https://www.econbiz.de/10010281327

General Quadratic Term Structures of Bond, Futures and Forward Prices

Gaspar, Raquel M. - Economics Institute for Research (SIR), … - 2004

, futures price, forward price, affine term structure, quadratic term structure. JEL Classification: E43, G13 ∗ I thank my … key notation • General Quadratic Term Structure (GQTS) Bond prices: lnH p (t,z,T)=A p (t,T)+B ∗ p (t,T)z +z ∗ C p (t … prices, respectively. We now establish exactly what we mean by a general quadratic term structure (GQTS). Definition 2.1 The …

Persistent link: https://www.econbiz.de/10005423814

Bilinear Term Structure Model

Monfort, Alain; Gouriéroux, Christian - Université Paris-Dauphine (Paris IX) - 2011

The Gaussian Affine Term Structure Model (ATSM) introduced by Duffie and Kan is often used in finance to price derivatives written on interest rates or to compute the reserve to hedge a portfolio of credits (CreditVaR), and in macroeconomic applications to study the links between real activity...

Persistent link: https://www.econbiz.de/10010706939