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A theory of the term structure with an official short rate

Babbs, Simon H.; Webber, Nick - 1994

Persistent link: https://www.econbiz.de/10000902097

Binomial valuation of lookback options

Babbs, Simon H. - In: Journal of economic dynamics & control 24 (2000) 11/12, pp. 1499-1525

Persistent link: https://www.econbiz.de/10001508727

Conditional Gaussian models of the term structure of interest rates

Babbs, Simon H. - In: Finance and stochastics 6 (2002) 3, pp. 333-353

Persistent link: https://www.econbiz.de/10001680673

Kalman filtering of Generalized Vasicek term structure models

Babbs, Simon H.; Nowman, Kalid Ben - In: Journal of financial and quantitative analysis : JFQA 34 (1999) 1, pp. 115-130

Persistent link: https://www.econbiz.de/10001436345

Pricing by arbitrage under arbitrary information

Babbs, Simon H. - In: Mathematical finance : an international journal of … 8 (1998) 2, pp. 163-168

Persistent link: https://www.econbiz.de/10001242836

Modelling Overnight and Daytime Returns Using a Multivariate Garch-Copula Model

Kang, Long - 2011

We introduce a multivariate GARCH-Copula model to describe joint dynamics of overnight and daytime returns for multiple assets. The conditional mean and variance of individual overnight and daytime returns depend on their previous realizations through a variant of GARCH specification, and two...

Persistent link: https://www.econbiz.de/10013132497