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International journal of theoretical and applied finance
NBER working paper series
99
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78
Mathematical finance : an international journal of mathematics, statistics and financial theory
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ECONIS (ZBW)
51
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1
The classification of term structure shapes in the two-factor vasicek model : a total positivity approach
Keller-Ressel, Martin
- In:
International journal of theoretical and applied finance
24
(
2021
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012662032
Saved in:
2
Financing and investment strategies under creditor-maximized liquidation
Shibata, Takashi
;
Nishihara, Michi
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-30
Persistent link: https://www.econbiz.de/10012652635
Saved in:
3
Interbank credit risk modeling with self-exciting jump processes
Leunga, Charles Guy Njike
;
Hainaut, Donatien
- In:
International journal of theoretical and applied finance
23
(
2020
)
6
,
pp. 1-32
Persistent link: https://www.econbiz.de/10012496770
Saved in:
4
Linear stochastic dividend model
Willems, Sander
- In:
International journal of theoretical and applied finance
23
(
2020
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10012496908
Saved in:
5
Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach
Liu, Wen-Qiong
;
Huang, Wen-Li
- In:
International journal of theoretical and applied finance
22
(
2019
)
2
,
pp. 1-17
Persistent link: https://www.econbiz.de/10012012947
Saved in:
6
Credit spread and liquidation value-based debt financing constraint
Shibata, Takashi
;
Nishihara, Michi
- In:
International journal of theoretical and applied finance
22
(
2019
)
5
,
pp. 1-27
Persistent link: https://www.econbiz.de/10012153003
Saved in:
7
Predicting returns in US treasuries : do tents matter?
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-13
Persistent link: https://www.econbiz.de/10011957124
Saved in:
8
Classification of two- and three-factor time-homogeneous separable LMMs
Gogala, Jaka
;
Kennedy, Joanne E.
- In:
International journal of theoretical and applied finance
20
(
2017
)
2
,
pp. 1-44
Persistent link: https://www.econbiz.de/10011686867
Saved in:
9
Affine models with stochastic market price of risk
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
20
(
2017
)
4
,
pp. 1-38
Persistent link: https://www.econbiz.de/10011687047
Saved in:
10
Note on the Smith-Wilson interest rate curve
Gach, Florian
- In:
International journal of theoretical and applied finance
19
(
2016
)
7
,
pp. 1-16
Persistent link: https://www.econbiz.de/10011568780
Saved in:
11
Consistent parallel and proportional shifts in the term structure of futures prices
Hinnerich, Mia
- In:
International journal of theoretical and applied finance
18
(
2015
)
1
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011403181
Saved in:
12
Return-predicting factors for us treasuries : on the similarity of “tents” and “bats”
Rebonato, Riccardo
- In:
International journal of theoretical and applied finance
18
(
2015
)
4
,
pp. 1-14
Persistent link: https://www.econbiz.de/10011403787
Saved in:
13
Portfolio optimization in affine models with Markov switching
Escobar, Marcos
;
Neykova, Daniela
;
Zagst, Rudi
- In:
International journal of theoretical and applied finance
18
(
2015
)
5
,
pp. 1-46
Persistent link: https://www.econbiz.de/10011403855
Saved in:
14
The multi-curve potential model
Nguyen, The Anh
;
Seifried, Frank Thomas
- In:
International journal of theoretical and applied finance
18
(
2015
)
7
,
pp. 1-32
Persistent link: https://www.econbiz.de/10011404390
Saved in:
15
On dynamic forward rate modeling and principal component analysis
Bermin, Hans-Peter
- In:
International journal of theoretical and applied finance
17
(
2014
)
5
,
pp. 1-20
Persistent link: https://www.econbiz.de/10010437211
Saved in:
16
A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan
;
Peacock, Matthew
;
Lee, Jacky
; …
- In:
International journal of theoretical and applied finance
17
(
2014
)
3
,
pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
Saved in:
17
Numerical procedures for a wrong way risk model with lognormal Hazard rates and Gaussian interest rates
Ng, Leslie
- In:
International journal of theoretical and applied finance
16
(
2013
)
8
,
pp. 1-33
Persistent link: https://www.econbiz.de/10010243617
Saved in:
18
The wishart short rate model
Gnoatto, Alessandro
- In:
International journal of theoretical and applied finance
15
(
2012
)
8
,
pp. 1-24
Persistent link: https://www.econbiz.de/10009706330
Saved in:
19
Recursive Bayesian estimation in forward price models implied by fair pricing
El Qalli, Yassine
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 301-333
Persistent link: https://www.econbiz.de/10008860389
Saved in:
20
Identification of affine term structures from yield curve data
Aihara, Shin Ichi
;
Bagchi, Arunabha
- In:
International journal of theoretical and applied finance
13
(
2010
)
2
,
pp. 259-283
Persistent link: https://www.econbiz.de/10008860397
Saved in:
21
Modern LIBOR market models : using different curves for projecting rates and for discounting
Mercurio, Fabio
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 113-137
Persistent link: https://www.econbiz.de/10008860420
Saved in:
22
Pricing CMS spread options in a Libor market model
Belomestny, Denis
;
Kolodko, Anastasia
;
Schoenmakers, John
- In:
International journal of theoretical and applied finance
13
(
2010
)
1
,
pp. 45-62
Persistent link: https://www.econbiz.de/10008860424
Saved in:
23
Arbitrage smoothing in fitting a sequence of yield curves
Bekker, Paul A.
;
Bouwman, Kees E.
- In:
International journal of theoretical and applied finance
12
(
2009
)
5
,
pp. 577-588
Persistent link: https://www.econbiz.de/10003899479
Saved in:
24
Optimal portfolios with stochastic short rate : pitfalls when the short rate is non-Gaussian or the market price of risk is unbounded
Kraft, Holger
- In:
International journal of theoretical and applied finance
12
(
2009
)
6
,
pp. 767-796
Persistent link: https://www.econbiz.de/10003911240
Saved in:
25
Accurate of VaR calculated using empirical models of the term structure
Abad, Pilar
;
Benito, Sonia
- In:
International journal of theoretical and applied finance
12
(
2009
)
6
,
pp. 811-832
Persistent link: https://www.econbiz.de/10003911243
Saved in:
26
PCA-based ex-ante forecasting of swap term structures
Blaskowitz, Olilver
;
Herwartz, Helmut
- In:
International journal of theoretical and applied finance
12
(
2009
)
4
,
pp. 465-489
Persistent link: https://www.econbiz.de/10003879073
Saved in:
27
On the term structure of loss distributions : a forward model approach
Sidenius, Jakob
- In:
International journal of theoretical and applied finance
10
(
2007
)
4
,
pp. 749-761
Persistent link: https://www.econbiz.de/10003503392
Saved in:
28
Defaultable Lévy Libor rates and credit derivatives
Huehne, Florian
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 407-435
Persistent link: https://www.econbiz.de/10003463421
Saved in:
29
An extension of the Brody-Hughston-Macrina approach to modeling of defaultable bonds
Rutkowski, Marek
;
Yu, Nannan
- In:
International journal of theoretical and applied finance
10
(
2007
)
3
,
pp. 557-589
Persistent link: https://www.econbiz.de/10003463472
Saved in:
30
On some inconsistencies in modeling credit portfolio products
Fabozzi, Frank J.
;
Tunaru, Radu
- In:
International journal of theoretical and applied finance
10
(
2007
)
8
,
pp. 1305-1321
Persistent link: https://www.econbiz.de/10003632081
Saved in:
31
Term structure of vanilla options
Brody, Dorje C.
;
Constantinou, Irene C.
;
Meister, …
- In:
International journal of theoretical and applied finance
10
(
2007
)
8
,
pp. 1323-1337
Persistent link: https://www.econbiz.de/10003632084
Saved in:
32
Variance term structure and VIX futures pricing
Zhu, Yingzi
;
Zhang, Jin E.
- In:
International journal of theoretical and applied finance
10
(
2007
)
1
,
pp. 111-127
Persistent link: https://www.econbiz.de/10003415735
Saved in:
33
On errors and bias of Fourier transform methods in quadratic term structure models
Boyarchenko, Nina
;
Levendorskij, Sergej Z.
- In:
International journal of theoretical and applied finance
10
(
2007
)
2
,
pp. 273-306
Persistent link: https://www.econbiz.de/10003441974
Saved in:
34
Valuation of guaranteed annuity options in affine term structure models
Chu, Chi Chiu
;
Kwok, Yue-Kuen
- In:
International journal of theoretical and applied finance
10
(
2007
)
2
,
pp. 363-387
Persistent link: https://www.econbiz.de/10003441993
Saved in:
35
An infinite factor model for credit risk
Schmidt, Thorsten
- In:
International journal of theoretical and applied finance
9
(
2006
)
1
,
pp. 43-68
Persistent link: https://www.econbiz.de/10003285916
Saved in:
36
Bond market model
Baviera, Roberto
- In:
International journal of theoretical and applied finance
9
(
2006
)
4
,
pp. 577-596
Persistent link: https://www.econbiz.de/10003347391
Saved in:
37
A general equilibrium model of the term structure of interest rates under regime-switching risk
Wu, Shu
;
Zeng, Yong
- In:
International journal of theoretical and applied finance
8
(
2005
)
7
,
pp. 839-870
Persistent link: https://www.econbiz.de/10003206512
Saved in:
38
Implied kernel models
Weigel, Peter
- In:
International journal of theoretical and applied finance
8
(
2005
)
5
,
pp. 575-601
Persistent link: https://www.econbiz.de/10003058621
Saved in:
39
Conditions for consistent exponential-polynomial forward rate processes with multiple nontrivial factors
Sharef, Emmanuel
;
Flipipović, Damir
- In:
International journal of theoretical and applied finance
7
(
2004
)
6
,
pp. 685-700
Persistent link: https://www.econbiz.de/10002200646
Saved in:
40
A complete Yield curve description of a Markov interest rate model
Elliott, Robert J.
;
Mamon, Rogemar S.
- In:
International journal of theoretical and applied finance
6
(
2003
)
4
,
pp. 317-326
Persistent link: https://www.econbiz.de/10001779812
Saved in:
41
A quantum field theory term structure model applied to hedging
Baaquie, Belal E.
;
Srikant, Marakani
;
Warachka, Mitch C.
- In:
International journal of theoretical and applied finance
6
(
2003
)
5
,
pp. 443-467
Persistent link: https://www.econbiz.de/10001787575
Saved in:
42
Increasing spot rates of interest : structure of the price of a default free discount bond
Cruz Rambaud, Salvador
;
Valls Martínez, María del Carmen
- In:
International journal of theoretical and applied finance
5
(
2002
)
3
,
pp. 321-332
Persistent link: https://www.econbiz.de/10001674225
Saved in:
43
Correlation analysis in the libor and swap market model
De Malherbe, Etienne
- In:
International journal of theoretical and applied finance
5
(
2002
)
4
,
pp. 401-426
Persistent link: https://www.econbiz.de/10001682223
Saved in:
44
The Health-Jarrow-Morton duration and convexity : a generalized approach
Frühwirth, Manfred
- In:
International journal of theoretical and applied finance
5
(
2002
)
7
,
pp. 695-700
Persistent link: https://www.econbiz.de/10001743234
Saved in:
45
Mathematical pseudo-completion of the BGM model
Yasuoka, Takashi
- In:
International journal of theoretical and applied finance
4
(
2001
)
3
,
pp. 375-401
Persistent link: https://www.econbiz.de/10001584358
Saved in:
46
On the consistency of the deterministic local volatility function model ("implied tree")
Strobl, Karl
- In:
International journal of theoretical and applied finance
4
(
2001
)
3
,
pp. 545-565
Persistent link: https://www.econbiz.de/10001584372
Saved in:
47
A filtering approach to pricing in multifactor term structure models
Gombani, Andrea
;
Runggaldier, Wolfgang J.
- In:
International journal of theoretical and applied finance
4
(
2001
)
2
,
pp. 303-320
Persistent link: https://www.econbiz.de/10001578740
Saved in:
48
Simulated swaption delta-hedging in the lognormal forward LIBOR model
Dun, Tim
;
Barton, Geoff
;
Schlögl, Erik
- In:
International journal of theoretical and applied finance
4
(
2001
)
4
,
pp. 677-709
Persistent link: https://www.econbiz.de/10001600372
Saved in:
49
Explaining the forward interest rate term structure
Matacz, Andrew
;
Bouchaud, Jean-Philippe
- In:
International journal of theoretical and applied finance
3
(
2000
)
3
,
pp. 381-389
Persistent link: https://www.econbiz.de/10001522890
Saved in:
50
Markov market model consistent with cap smile
Balland, P.
;
Hughston, L. P.
- In:
International journal of theoretical and applied finance
3
(
2000
)
2
,
pp. 161-181
Persistent link: https://www.econbiz.de/10001484563
Saved in:
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