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1
A stochastic control perspective on term structure models with roll-over risk
Fontana, Claudio
;
Pavarana, Simone
;
Runggaldier, Wolfgang J.
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 903-932
Persistent link: https://www.econbiz.de/10014426396
Saved in:
2
Discount models
Filipović, Damir
- In:
Finance and stochastics
27
(
2023
)
4
,
pp. 933-946
Persistent link: https://www.econbiz.de/10014426399
Saved in:
3
Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard
;
Boumezoued, Alexandre
;
Lapeyre, …
- In:
Finance and stochastics
26
(
2022
)
4
,
pp. 771-823
Persistent link: https://www.econbiz.de/10013440251
Saved in:
4
The Leland-Toft optimal capital structure model under Poisson observations
Palmowski, Zbigniew
;
Pérez, José Luis
;
Budhi Arta Surya
; …
- In:
Finance and stochastics
24
(
2020
)
4
,
pp. 1035-1082
Persistent link: https://www.econbiz.de/10012518151
Saved in:
5
Term structure modelling for multiple curves with stochastic discontinuities
Fontana, Claudio
;
Grbac, Zorana
;
Gümbel, Sandrine
; …
- In:
Finance and stochastics
24
(
2020
)
2
,
pp. 465-511
Persistent link: https://www.econbiz.de/10012253393
Saved in:
6
Forward transition rates
Buchardt, Kristian
;
Furrer, Christian
;
Steffensen, Mogens
- In:
Finance and stochastics
23
(
2019
)
4
,
pp. 975-999
Persistent link: https://www.econbiz.de/10012114667
Saved in:
7
Approximation of forward curve models in commodity markets with arbitrage-free finite-dimensional models
Benth, Fred Espen
;
Krühner, Paul
- In:
Finance and stochastics
22
(
2018
)
2
,
pp. 327-366
Persistent link: https://www.econbiz.de/10011945791
Saved in:
8
Long-term factorization in Heath-Jarrow-Morton models
Qin, Likuan
;
Linetsky, Vadim
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 621-641
Persistent link: https://www.econbiz.de/10011945879
Saved in:
9
Explosion in the quasi-Gaussian HJM model
Pirjol, Dan
;
Zhu, Lingjiong
- In:
Finance and stochastics
22
(
2018
)
3
,
pp. 643-666
Persistent link: https://www.econbiz.de/10011945882
Saved in:
10
Weak time-derivatives and no-arbitrage pricing
Marinacci, Massimo
;
Severino, Federico
- In:
Finance and stochastics
22
(
2018
)
4
,
pp. 1007-1036
Persistent link: https://www.econbiz.de/10011946595
Saved in:
11
Alpha-CIR model with branching processes in sovereign interest rate modeling
Jiao, Ying
;
Ma, Chunhua
;
Scotti, Simone
- In:
Finance and stochastics
21
(
2017
)
3
,
pp. 789-813
Persistent link: https://www.econbiz.de/10011944426
Saved in:
12
A general HJM framework for multiple yield curve modelling
Cuchiero, Christa
;
Fontana, Claudio
;
Gnoatto, Alessandro
- In:
Finance and stochastics
20
(
2016
)
2
,
pp. 267-320
Persistent link: https://www.econbiz.de/10011470672
Saved in:
13
Taylor approximation of incomplete Radner equilibrium models
Choi, Jin Hyuk
;
Larsen, Kasper
- In:
Finance and stochastics
19
(
2015
)
3
,
pp. 653-679
Persistent link: https://www.econbiz.de/10011418332
Saved in:
14
Forward rate models with linear volatilities
Barski, Michał
;
Zabczyk, Jerzy
- In:
Finance and stochastics
16
(
2012
)
3
,
pp. 537-560
Persistent link: https://www.econbiz.de/10009562291
Saved in:
15
Can the implied volatitlity surface move by parallel shifts?
Rogers, Leonard C. G.
;
Tehranchi, M. R.
- In:
Finance and stochastics
14
(
2010
)
2
,
pp. 235-248
Persistent link: https://www.econbiz.de/10003951506
Saved in:
16
Local volatility dynamic models
Carmona, René
;
Nadtochiy, Sergey
- In:
Finance and stochastics
13
(
2009
)
1
,
pp. 1-48
Persistent link: https://www.econbiz.de/10003939465
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17
Yield curve shapes and the asymptotic short rate distribution in affine one-factor models
Keller-Ressel, Martin
;
Steiner, Thomas
- In:
Finance and stochastics
12
(
2008
)
2
,
pp. 149-172
Persistent link: https://www.econbiz.de/10003716240
Saved in:
18
Existence of Lévy term structure models
Filipović, Damir
;
Tappe, Stefan
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 83-115
Persistent link: https://www.econbiz.de/10003592553
Saved in:
19
Convexity theory for the term structure equation
Ekström, Erik
;
Tysk, Johan
- In:
Finance and stochastics
12
(
2008
)
1
,
pp. 117-147
Persistent link: https://www.econbiz.de/10003592554
Saved in:
20
Exponential moments for HJM models with jumps
Jakubowski, Jacek
;
Zabczyk, Jerzy
- In:
Finance and stochastics
11
(
2007
)
3
,
pp. 429-445
Persistent link: https://www.econbiz.de/10003485817
Saved in:
21
Negative Libor rates in the swap market model
Davis, Mark H. A.
;
Mataix-Pastor, Vicente
- In:
Finance and stochastics
11
(
2007
)
2
,
pp. 181-193
Persistent link: https://www.econbiz.de/10003439752
Saved in:
22
Consistent variance curve models
Buehler, Hans
- In:
Finance and stochastics
10
(
2006
)
2
,
pp. 178-203
Persistent link: https://www.econbiz.de/10003334916
Saved in:
23
Optimal portfolio choice in the bond market
Ringer, Nathanael
;
Tehranchi, Michael
- In:
Finance and stochastics
10
(
2006
)
4
,
pp. 553-573
Persistent link: https://www.econbiz.de/10003405649
Saved in:
24
Consistency among trading desks
Heath, David
;
Ku, Hyejin
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 331-340
Persistent link: https://www.econbiz.de/10003379777
Saved in:
25
Iterative construction of the optimal Bermudan stopping time
Kolodko, Anastasia
;
Schoenmakers, John
- In:
Finance and stochastics
10
(
2006
)
1
,
pp. 27-49
Persistent link: https://www.econbiz.de/10003234943
Saved in:
26
The Lévy LIBOR model
Eberlein, Ernst
;
Özkan, Fehmi
- In:
Finance and stochastics
9
(
2005
)
3
,
pp. 327-348
Persistent link: https://www.econbiz.de/10002946685
Saved in:
27
A note on invariant measures for HJM models
Theranchi, Michael
- In:
Finance and stochastics
9
(
2005
)
3
,
pp. 389-398
Persistent link: https://www.econbiz.de/10002946718
Saved in:
28
A chaotic approach to interest rate modelling
Hughston, Lane P.
;
Rafailidis, Avraam
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 43-65
Persistent link: https://www.econbiz.de/10002497065
Saved in:
29
Lévy term structure models: no-arbitrage and completeness
Eberlein, Ernst
;
Jacod, Jean
;
Raible, Sebastian
- In:
Finance and stochastics
9
(
2005
)
1
,
pp. 67-88
Persistent link: https://www.econbiz.de/10002497073
Saved in:
30
On the use of measure-valued strategies in bond markets
De Donno, Marzia
;
Pratelli, Maurizio
- In:
Finance and stochastics
8
(
2004
)
1
,
pp. 87-109
Persistent link: https://www.econbiz.de/10001910737
Saved in:
31
Numerical solution of jump-diffusion LIBOR market models
Glasserman, Paul
;
Merener, Nicolas
- In:
Finance and stochastics
7
(
2003
)
1
,
pp. 1-27
Persistent link: https://www.econbiz.de/10001724635
Saved in:
32
The interpolation of options
Mykland, Per A.
- In:
Finance and stochastics
7
(
2003
)
4
,
pp. 417-432
Persistent link: https://www.econbiz.de/10001800674
Saved in:
33
Modeling the term structure of interest rates with general short-rate models
Takamizawa, Hideyuki
;
Shoji, Isao
- In:
Finance and stochastics
7
(
2003
)
3
,
pp. 323-335
Persistent link: https://www.econbiz.de/10001771705
Saved in:
34
A clarification note about hitting times densities for Ornstein-Uhlenbeck processes
Göing-Jaeschke, Anja
;
Yor, Marc
- In:
Finance and stochastics
7
(
2003
)
3
,
pp. 413-415
Persistent link: https://www.econbiz.de/10001772723
Saved in:
35
A multicurrency extension of the lognormal interest rate market models
Schlögl, Erik
- In:
Finance and stochastics
6
(
2002
)
2
,
pp. 173-196
Persistent link: https://www.econbiz.de/10001662467
Saved in:
36
The expectations hypothesis with non-negative rates
Griffin, Philip S.
- In:
Finance and stochastics
6
(
2002
)
2
,
pp. 265-271
Persistent link: https://www.econbiz.de/10001662474
Saved in:
37
Conditional Gaussian models of the term structure of interest rates
Babbs, Simon H.
- In:
Finance and stochastics
6
(
2002
)
3
,
pp. 333-353
Persistent link: https://www.econbiz.de/10001680673
Saved in:
38
Pricing of Asian exchange rate options under stochastic interest rates as a sum of options
Aase Nielsen, Jørgen
;
Sandmann, Klaus
- In:
Finance and stochastics
6
(
2002
)
3
,
pp. 355-370
Persistent link: https://www.econbiz.de/10001680678
Saved in:
39
A deterministic-shift extension of analytically-tractable and time-homogeneous short-rate models
Brigo, Damiano
;
Mercurio, Fabio
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 369-387
Persistent link: https://www.econbiz.de/10001599290
Saved in:
40
A general characterization of one factor affine term structure models
Filipović, Damir
- In:
Finance and stochastics
5
(
2001
)
3
,
pp. 389-412
Persistent link: https://www.econbiz.de/10001599299
Saved in:
41
Stochastic flows and the forward measure
Elliott, Robert J.
;
Hoek, John van der
- In:
Finance and stochastics
5
(
2001
)
4
,
pp. 511-525
Persistent link: https://www.econbiz.de/10001614608
Saved in:
42
Forward rate dependent Markovian transformations of the Heath-Jarrow-Morton term structure model
Chiarella, Carl
;
Kwon, Oh Kang
- In:
Finance and stochastics
5
(
2001
)
2
,
pp. 237-257
Persistent link: https://www.econbiz.de/10001571502
Saved in:
43
Bond pricing in a hidden Markov model of the short rate
Landén, Camilla
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 371-389
Persistent link: https://www.econbiz.de/10001538315
Saved in:
44
A simple regime switching term structure model
Hansen, Asbjørn Trolle
;
Poulsen, Rolf
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 409-429
Persistent link: https://www.econbiz.de/10001539190
Saved in:
45
Implied savings accounts are unique
Döberlein, Frank
;
Schweizer, Martin
;
Stricker, Christophe
- In:
Finance and stochastics
4
(
2000
)
4
,
pp. 431-442
Persistent link: https://www.econbiz.de/10001539196
Saved in:
46
Invariant measures for the Musiela equation with deterministic diffusion term
Vargiolu, Tiziano
- In:
Finance and stochastics
3
(
1999
)
4
,
pp. 483-492
Persistent link: https://www.econbiz.de/10001412198
Saved in:
47
Path dependent options on yields in the affine term structure model
Leblanc, Boris
- In:
Finance and stochastics
2
(
1998
)
4
,
pp. 349-367
Persistent link: https://www.econbiz.de/10001246924
Saved in:
48
Arbitrage bounds for the term structure of interest rates
Jaschke, Stefan R.
- In:
Finance and stochastics
2
(
1998
)
1
,
pp. 29-40
Persistent link: https://www.econbiz.de/10001230161
Saved in:
49
On a general class of one-factor models for the term structure of interest rates
Schmidt, W. M.
- In:
Finance and stochastics
1
(
1997
)
1
,
pp. 3-24
Persistent link: https://www.econbiz.de/10001215753
Saved in:
50
Towards a general theory of bond markets
Björk, Tomas
(
contributor
)
- In:
Finance and stochastics
1
(
1997
)
2
,
pp. 141-174
Persistent link: https://www.econbiz.de/10001217942
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