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An inequality for the variance of waiting time under a general queuing discipline
Vasicek, Oldrich Alfons - In: Operations research 25 (1977) 5, pp. 879-884
Persistent link: https://www.econbiz.de/10002945335
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A note on using cross-sectional information in Bayesian estimation of security betas
Vasicek, Oldrich Alfons - In: The journal of finance : the journal of the American … 28 (1973) 5, pp. 1233-1239
Persistent link: https://www.econbiz.de/10002945351
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An equilibrium characterization of the term structure
Vasicek, Oldrich Alfons - In: Journal of financial economics 5 (1977) 2, pp. 177-188
Persistent link: https://www.econbiz.de/10002945318
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Term structure modeling using exponential splines
Vasicek, Oldrich Alfons; Fong, H. Gifford - In: The journal of finance : the journal of the American … 37 (1982) 2, pp. 339-348
Persistent link: https://www.econbiz.de/10002945371
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Return maximization for immunized portfolios
Fong, H. Gifford; Vasicek, Oldrich Alfons - In: Innovations in bond portfolio management : duration …, (pp. 227-238). 1983
Persistent link: https://www.econbiz.de/10002172095
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A risk minimizing strategy for portfolio immunization
Fong, H. Gifford; Vasicek, Oldrich Alfons - In: The journal of finance : the journal of the American … 39 (1984) 5, pp. 1541-1546
Persistent link: https://www.econbiz.de/10003549469
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A Multidimensional Framework for Risk Analysis
Fong, Gifford; Vasicek, Oldrich A. - In: Financial analysts' journal : FAJ 53 (1997) 4, pp. 51-57
Persistent link: https://www.econbiz.de/10006313399
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An equilibrium characterization of the term structure
Vasicek, Oldrich - In: Journal of Financial Economics 5 (1977) 2, pp. 177-188
Persistent link: https://www.econbiz.de/10005376773
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Loan portfolio value - Using a conditional independence framework, the author derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He...
Vasicek, Oldrich - In: Risk : managing risk in the world's financial markets 15 (2002) 12, pp. 160-162
Persistent link: https://www.econbiz.de/10007034848
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Commodities: Plugging into electricity - A new formalism for pricing derivatives and modelling spot price behaviour for non-storable commodities, such as electricity.
Geman, Hélyette; Vasicek, Oldrich - In: Risk : managing risk in the world's financial markets 14 (2001) 8, pp. 93-98
Persistent link: https://www.econbiz.de/10007042028