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Affine long term yield curves : an application of the Ramsey rule with progressive utility
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Journal of financial engineering 1 (2014) 1, pp. 1-24
Persistent link: https://www.econbiz.de/10010508124
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Ramsey rule with forward/backward utility for long-term yield curves modeling
El Karoui, Nicole; Hillairet, Caroline; Mrad, Mohamed - In: Decisions in economics and finance : a journal of … 45 (2022) 1, pp. 375-414
Persistent link: https://www.econbiz.de/10013380575
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Jacobi stochastic volatility factor for the LIBOR market model
Arrouy, Pierre-Edouard; Boumezoued, Alexandre; Lapeyre, … - In: Finance and stochastics 26 (2022) 4, pp. 771-823
Persistent link: https://www.econbiz.de/10013440251