The efficiency of traditional and stochastic interest rate risk measures is compared under one-, two-, and three-factor Gauss-Markov HJM term structure models, and for different immunization periods. The empirical analysis, run on the German Treasury bond market from January 2000 to December...

The Duffie-Kan (1996) model, which can be considered as the most general affine term structure model, was originally specified in terms of risk-adjusted stochastic processes for its state variables. Here, the Duffie and Kan (1996) model is initially fitted into a general equilibrium framework...

This paper compares the efficiency of traditional and stochastic interest rate risk measures under two distinct interest rate term structure frameworks: the Nelson-Siegel specification and an HJM consistent parametrization, as proposed by Bjork and Christensen(1999). Empirical analysis suggests...

Under a one-factor Gaussian Heath, Jarrow and Morton (1992) model, Turnbull (1995) as well as Navatte and Quittard-Pinon (1999) provide explicit pricing solutions for range notes contracts.The present paper generalizes such closed-form solutions for the context of a multi-factor Gaussian HJM...

Under a one-factor Gaussian Heath, Jarrow and Morton (1992) model, Turnbull (1995) as well as Navatte and Quittard-Pinon (1999) provide explicit pricing solutions for range notes contracts.The present paper generalizes such closed-form solutions for the context of a multi-factor Gaussian HJM...