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Empirical tests of two state-variable HJM models

Bliss, Robert R.; Ritchken, Peter H. - 1995

Persistent link: https://www.econbiz.de/10000925737

Pricing options under generalised GARCH and stochastic volatility processes

Ritchken, Peter H.; Trevor, Robert G. - 1997

Persistent link: https://www.econbiz.de/10000978436

Empirical tests of two state-variable Heath-Jarrow-Morton models

Bliss, Robert R. - In: Journal of money, credit and banking : JMCB 28 (1996) 3, pp. 452-476

Persistent link: https://www.econbiz.de/10001334599

On bounding option prices in Paretian stable markets

Popova, Ivilina - In: The journal of derivatives : the official publication … 5 (1998) 4, pp. 32-43

Persistent link: https://www.econbiz.de/10001246678

Estimating real and nominal term structures using treasury yields, inflation, inflation forecasts, and inflation swap rates /by Joseph Haubrich, George Pennacchi, and Peter Ritchken

Haubrich, Joseph Gerard (contributor); … - 2008

Persistent link: https://www.econbiz.de/10003778338

Estimating Real and Nominal Term Structures Using Treasury Yields, Inflation, Inflation Forecasts, and Inflation Swap Rates

Haubrich, Joseph G. - 2012

This paper develops and estimates an equilibrium model of the term structures of nominal and real interest rates. The term structures are driven by state variables that include the short term real interest rate, expected inflation, a factor that models the changing level to which inflation is...

Persistent link: https://www.econbiz.de/10013107855

Pricing options under generalized GARCH and stochastic volatility processes

Ritchken, Peter; Trevor, Rob - In: The journal of finance : the journal of the American … 54 (1999) 1, pp. 377-402

Persistent link: https://www.econbiz.de/10001355222