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A new method to estimate risk and return of nontraded assets from cash flows : the case of private equity funds

Driessen, Joost; Lin, Tse-chun; Phalippou, Ludovic - In: Journal of financial and quantitative analysis : JFQA 47 (2012) 3, pp. 511-535

Persistent link: https://www.econbiz.de/10009672538

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, Joost (contributor); Klaassen, Pieter (contributor) - 2000

Persistent link: https://www.econbiz.de/10001528991

Libor and Swap Market Models for the pricing of interest rate derivatives : an empirical analysis

Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - 2000

Persistent link: https://www.econbiz.de/10001473517

Testing affine term structure models in case of transaction costs

Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - 1999 - 2. vers

Persistent link: https://www.econbiz.de/10001416198

The performance of multi-factor term structure models for pricing and hedging caps and swaptions

Driessen, Joost; Klaassen, Pieter; Melenberg, Bertrand - In: Journal of financial and quantitative analysis : JFQA 38 (2003) 3, pp. 635-672

Persistent link: https://www.econbiz.de/10001794047

Testing affine term structure models in case of transaction costs

Driessen, Joost; Melenberg, Bertrand; Nijman, Theodore E. - In: Journal of econometrics 126 (2005) 1, pp. 201-232

Persistent link: https://www.econbiz.de/10002538651

The Missing Piece of the Puzzle : Liquidity Premiums in Inflation-Indexed Markets

Driessen, Joost - 2017

Fleckenstein et al. (2014) document that nominal Treasuries trade at higher prices than inflation-swapped indexed bonds, which exactly replicate the nominal cash flows. We study whether this mispricing arises from liquidity premiums in inflation-indexed bonds (TIPS) and inflation swaps. Using US...

Persistent link: https://www.econbiz.de/10012946994

A simple approach to estimate long-term interest rates

Driessen, Joost; Nijman, Theodore E.; Simon, Zorka - In: Journal of pension economics and finance : JPEF 23 (2024) 3, pp. 413-437

Persistent link: https://www.econbiz.de/10015154263

The world price of jumo and volatility risk

Driessen, Joost; Maenhout, Pascal J. - In: Journal of banking & finance 37 (2013) 2, pp. 518-536

Persistent link: https://www.econbiz.de/10009705629

On the information in the interest rate term structure and option prices

Jong, Frank de; Driessen, Joost; Pelsser, Antoon André Jean - In: Review of derivatives research 7 (2004) 2, pp. 99-127

Persistent link: https://www.econbiz.de/10003153989