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Munk, Claus - Oxford University Press

Fixed Income Modelling offers a unified presentation of dynamic term structure models and their applications to the pricing and risk management of fixed income securities. It explains the basic fixed income securities and their properties and uses as well as the relations between those...

Persistent link: https://www.econbiz.de/10008924113

Equilibrium in securities markets with heterogeneous investors and unspanned income risk

Christensen, Peter Ove; Larsen, Kasper; Munk, Claus - In: Journal of economic theory 147 (2012) 3, pp. 1035-1064

Persistent link: https://www.econbiz.de/10009960280

Optimal consumption and investment strategies with stochastic interest rates

Munk, Claus; Sørensen, Carsten - In: Journal of banking & finance 28 (2004) 8, pp. 1987-2014

Persistent link: https://www.econbiz.de/10005883585

Dynamic asset allocation under mean-reverting returns, stochastic interest rates, and inflation uncertainty - Are popular recommendations consistent with rational behavior?

Munk, Claus; Sørensen, Carsten; Nygaard Vinther, Tina - In: International review of economics & finance : IREF 13 (2004) 2, pp. 141-166

Persistent link: https://www.econbiz.de/10007650450

Price bounds on bond options, swaptions, caps, and floors assuming only nonnegative interest rates

Munk, Claus - In: International review of economics & finance : IREF 11 (2002) 4, pp. 335-348

Persistent link: https://www.econbiz.de/10007660164

Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences

Munk, Claus - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3560-3589

Persistent link: https://www.econbiz.de/10008110427

The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts

Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 36 (2012) 2, pp. 266-294

Persistent link: https://www.econbiz.de/10009819573

Robust portfolio choice with ambiguity and learning about return predictability

Branger, Nicole; Larsen, Linda Sandris; Munk, Claus - In: Journal of banking & finance 37 (2013) 5, pp. 1397-1411

Persistent link: https://www.econbiz.de/10010094470

Dynamic asset allocation with stochastic income and interest rates

Munk, Claus; Sørensen, Carsten - In: Journal of financial economics 96 (2010) 3, pp. 433-463

Persistent link: https://www.econbiz.de/10008407987

Portfolio and consumption choice with stochastic investment opportunities and habit formation in preferences

Munk, Claus - In: Journal of economic dynamics & control 32 (2008) 11, pp. 3560-3590

Persistent link: https://www.econbiz.de/10008879641

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