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

Driessen, J.J.A.G.; Klaassen, P.; Melenberg, B. - 2000

In this paper we empirically compare a wide range of different term structure models when it comes to the pricing and, in particular, hedging of caps and swaptions. We analyze the influence of the number of factors on the hedging and pricing results, and investigate which type of data "interest...

Persistent link: https://www.econbiz.de/10009460130

Micro-econometric models of consumer behaviour and welfare

Melenberg, B. - Tilburg University, School of Economics and Management - 1992

Persistent link: https://www.econbiz.de/10011087596

Common factors in international bond returns

Driessen, J.J.A.G.; Melenberg, B.; Nijman, T.E. - Tilburg University, School of Economics and Management - 2003

Persistent link: https://www.econbiz.de/10011088836

Longevity risk

De Waegenaere, A.M.B.; Melenberg, B.; Stevens, R. - Tilburg University, School of Economics and Management - 2010

Persistent link: https://www.econbiz.de/10011088901

Parametric and semi-parametric modelling of vacation expenditures

Melenberg, B.; van Soest, A.H.O. - Tilburg University, School of Economics and Management - 1996

Persistent link: https://www.econbiz.de/10011089045

A convenient way to characterize equivalent Martingale measures in incomplete markets

Melenberg, B.; Werker, B.J.M. - Tilburg University, School of Economics and Management - 1999

Persistent link: https://www.econbiz.de/10011089106

Life cycle consumption models with uncertainty within periods

Melenberg, B. - Tilburg University, School of Economics and Management - 1997

Persistent link: https://www.econbiz.de/10011089459

The effects of liquidity constraints on consumption : Estimation from household panel data

Alessie, R.J.M.; Melenberg, B.; Kapteyn, A.J. - Tilburg University, School of Economics and Management - 1989

Persistent link: https://www.econbiz.de/10011089555

Measuring the costs of children : Parametric and semiparametric estimators

Melenberg, B.; van Soest, A.H.O. - Tilburg University, School of Economics and Management - 1996

Persistent link: https://www.econbiz.de/10011089883

A smoothed maximum score estimator for the binary choice panel data model with an application to labour force participation

Charlier, G.W.P.; Melenberg, B.; van Soest, A.H.O. - Tilburg University, School of Economics and Management - 1995

Persistent link: https://www.econbiz.de/10011089906