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Processus de diffusion et biais de discrétisation : une analyse empirique par inférence indirecte appliquée aux taux d'intérêt

De Winne, Rudy - In: Finance : revue de l'Association Française de Finance 19 (1998) 1, pp. 41-58

Persistent link: https://www.econbiz.de/10001398790

Endogenous exchange rate

Vignola, Luigi - 1998

Persistent link: https://www.econbiz.de/10000679548

Estimating borrower mobility from observed prepayments

Harding, John P. - In: Real estate economics : journal of the American Real … 25 (1997) 3, pp. 347-371

Persistent link: https://www.econbiz.de/10001228446

Empirical performance of alternative option pricing models

Bakshi, Gurdip S. - In: The journal of finance : the journal of the American … 52 (1997) 5, pp. 2003-2049

Persistent link: https://www.econbiz.de/10001232333

An empirical examination of currency futures options under stochastic interest rates

Poon, Winnie P. H. - In: Global finance journal 9 (1998) 1, pp. 29-50

Persistent link: https://www.econbiz.de/10001249654

Financial models for stocks, interest rates, and options : theory and estimation

Jensen, Morten Berg - 2001

Persistent link: https://www.econbiz.de/10001594004

Option pricing under stochastic volatility and stochastic interest rate in the Spanish case

Sáez, Marc - In: Applied financial economics 7 (1997) 4, pp. 379-394

Persistent link: https://www.econbiz.de/10001226979

Residential investment and interest rates : an empirical test of land development as a real option

Capozza, Dennis R.; Li, Yuming - In: Real estate economics : journal of the American Real … 29 (2001) 3, pp. 503-519

Persistent link: https://www.econbiz.de/10001715349

Can Negative Interest Rates Really Affect Option Pricing? Empirical Evidence from an Explicitly Solvable Stochastic Volatility Model

Recchioni, Maria Cristina - 2016

The profound financial crisis generated by the collapse of Lehman Brothers and the European sovereign debt crisis in 2011 have caused negative values of government bond yields both in the U.S.A. and in the EURO area. This paper investigates whether the use of models which allow for negative...

Persistent link: https://www.econbiz.de/10012998049

Markov Functional One Factor Interest Rate Model Implementation in QuantLib

Caspers, Peter - 2013

Persistent link: https://www.econbiz.de/10013089532