The paper investigates the possibility of an arbitrage-free model for the term structure of interest rates where the yield curve only changes through a parallel shift. HJM type forward rate models driven by a multidimensional Wiener process and by a general marked point process are considered....

It is well known that a quantile is the solution to a minimization problem. We show that the conditional quantile with respect to a general -algebra is the solution to similar a minimization problem.

Using Gateuax dierentials we study how the value of a stream of cash flows is changed as the forward rate curve changes. Using this approach we are able to derive an alternative to the standard method of duration matching, and we argue why it better than ordinary duration matching. We also solve...

Purpose: This paper aims to analyze how nearby property prices are affected by new construction projects in Stockholm. If there is an impact on property prices, the authors endeavor to investigate whether the effects vary among different areas within the municipality, for different groups of...

The purpose of this paper is to study the determinants of aggregate fund flows to both equity and hybrid mutual funds. We test three hypotheses that help explaining the relationship between mutual fund flows and stock market returns, namely; the feedback-trader hypothesis, the price-pressure...

Current estimation procedures for computing building price indexes do not in an adequate way account for changes in the quality of new residential construction which results in upward biases of price changes, and consequently causes published productivity changes to be too low due to...