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Modeling the term structure of interest rates with general diffusion processes : a moment approximation approach

Takamizawa, Hideyuki; Shoji, Isao - In: Journal of economic dynamics & control 33 (2009) 1, pp. 65-77

Persistent link: https://www.econbiz.de/10003810161

Modeling the term structure of interest rates with general diffusion processes : a moment approximation approach

Takamizawa, Hideyuki (contributor); Shoji, Isao (contributor) - 2006

Persistent link: https://www.econbiz.de/10003387612

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

Approximation of non-linear term structure models

Takamizawa, Hideyuki; Shoji, Isao - In: The journal of derivatives : the official publication … 8 (2001) 3, pp. 44-51

Persistent link: https://www.econbiz.de/10001581197

Is Nonlinear Drift Implied by the Short-End of the Term Structure?

Takamizawa, Hideyuki - Graduate School of Economics, Hitotsubashi University - 2006

Nonlinear drift models of the short-rate are estimated using data on the short-end of the term structure, where the cross-sectional relation is obtained by an analytical approximation. We find that (i) nonlinear physical drift is not implied unless it is strongly affected by cross-sectional...

Persistent link: https://www.econbiz.de/10004992519

A simple measure for examining the proxy problem of the short-rate

Takamizawa, Hideyuki - In: Asia-Pacific financial markets 14 (2007) 4, pp. 341-361

Persistent link: https://www.econbiz.de/10003757809

Is nonlinear drift implied by the short end of the term structure?

Takamizawa, Hideyuki - In: The review of financial studies 21 (2008) 1, pp. 311-346

Persistent link: https://www.econbiz.de/10003716165

A term structure model of interest rates with quadratic volatility

Takamizawa, Hideyuki - In: Quantitative finance 18 (2018) 7, pp. 1173-1198

Persistent link: https://www.econbiz.de/10011911531

An equilibrium model of the term structures of bonds and equities

Takamizawa, Hideyuki - In: International review of financial analysis 84 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013472835

A model of the term structure of interest rates for an economically dependent country

Shoji, Isao - In: Financial engineering and the Japanese markets 1 (1994) 2, pp. 85-99

Persistent link: https://www.econbiz.de/10001187918