Works matching DE "MATHEMATICAL models of interest rates"

Results: 67

TERM-RISK STRUCTURES AND THE VALUATION OF PROJECTS.

Published in:

Journal of Financial & Quantitative Analysis, 1980, v. 15, n. 4, p. 875, doi. 10.2307/2330566

By:

Dothan, Uri;
Williams, Joseph

Publication type:

Article

SHORT-RUN INTEREST RATE CYCLES IN THE U.S.: 1954-1967.

Published in:

Journal of Financial & Quantitative Analysis, 1969, v. 4, n. 3, p. 291, doi. 10.2307/2329698

By:

Melnik, Arie;
Kraus, Alan

Publication type:

Article

REVIEW OF THE STATIC METHODS USED IN THE MEASUREMENT OF THE EXPOSURE TO THE INTEREST RATE RISK.

Published in:

Financial Sciences / Nauki o Finansach, 2014, v. 4, n. 21, p. 25, doi. 10.15611/nof.2014.4.02

By:

Lubińska, Beata

Publication type:

Article

Do National Economic Shocks Influence European Central Bank Interest Rate Decisions? The Impact of the Financial and Sovereign Debt Crises Do National Economic Shocks Influence European Central Bank Interest Rate Decisions? The Impact of the Financial and Sovereign Debt Crises

Published in:

Journal of Common Market Studies, 2013, v. 51, n. 2, p. 212, doi. 10.1111/jcms.12001

By:

Bouvet, Florence;
King, Sharmila

Publication type:

Article

Measuring the natural yield curve.

Published in:

Applied Economics, 2014, v. 46, n. 17, p. 2052, doi. 10.1080/00036846.2013.829204

By:

Brzoza-Brzezina, Michał;
Kotłowski, Jacek

Publication type:

Article

On real interest rate persistence: the role of breaks.

Published in:

Applied Economics, 2014, v. 46, n. 10, p. 1058, doi. 10.1080/00036846.2013.864043

By:

Haug, Alfred A.

Publication type:

Article

Monetary policy through the ‘credit-cost channel’: Italy and Germany pre- and post-EMU.

Published in:

Applied Economics, 2013, v. 45, n. 29, p. 4095, doi. 10.1080/00036846.2012.748176

By:

Passamani, Giuliana;
Tamborini, Roberto

Publication type:

Article

Direct effects of money on aggregate demand: another look at the evidence.

Published in:

Applied Economics, 2013, v. 45, n. 27, p. 3801, doi. 10.1080/00036846.2012.718067

By:

Kulish, Mariano;
Elias, Stephen

Publication type:

Article

Interest rate transmission in the UK: a comparative analysis across financial firms and products.

Published in:

International Journal of Finance & Economics, 2009, v. 14, n. 1, p. 45, doi. 10.1002/ijfe.366

By:

Fuertes, Ana-Maria;
Heffernan, Shelagh A.

Publication type:

Article

Uniform Asymptotics for the Finite-Time Ruin Probability of a Dependent Risk Model with a Constant Interest Rate.

Published in:

Methodology & Computing in Applied Probability, 2013, v. 15, n. 1, p. 109, doi. 10.1007/s11009-011-9226-y

By:

Wang, Kaiyong;
Wang, Yuebao;
Gao, Qingwu

Publication type:

Article

Shrinkage drift parameter estimation for multi-factor Ornstein–Uhlenbeck processes.

Published in:

Applied Stochastic Models in Business & Industry, 2010, v. 26, n. 2, p. 103, doi. 10.1002/asmb.775

By:

Nkurunziza, Sévérien;
Ahmed, S. Ejaz

Publication type:

Article

Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility.

Published in:

Applied Stochastic Models in Business & Industry, 2009, v. 25, n. 3, p. 407, doi. 10.1002/asmb.759

By:

Li, Jinzhu;
Wu, Rong

Publication type:

Article

An optimal investment and consumption model with stochastic returns.

Published in:

Applied Stochastic Models in Business & Industry, 2009, v. 25, n. 1, p. 45, doi. 10.1002/asmb.720

By:

Wang, Xikui;
Yi, Yanqing

Publication type:

Article

Financial fragmentation and the monetary transmission mechanism in the euro area: a smooth transition VAR approach.

Published in:

Studies in Nonlinear Dynamics & Econometrics, 2018, v. 22, n. 5, p. N.PAG, doi. 10.1515/snde-2017-0097

By:

Kotz, Hans-Helmut;
Semmler, Willi;
Tahri, Ibrahim

Publication type:

Article

Valuation of Portfolio Credit Derivatives with Default Intensities Using the Vasicek Model.

Published in:

Asia-Pacific Financial Markets, 2011, v. 18, n. 1, p. 33, doi. 10.1007/s10690-010-9119-z

By:

Liang, Jin;
Ma, Jun;
Wang, Tao;
Ji, Qin

Publication type:

Article

An Evaluation of Contingent Claims Using the CKLS Interest Rate Model: An Analysis of Australia, Japan, and the United Kingdom.

Published in:

Asia-Pacific Financial Markets, 1999, v. 6, n. 3, p. 205, doi. 10.1023/A:1010013604561

By:

Nowman, K.;
Sorwar, Ghulam

Publication type:

Article

Fundamental solution of bond pricing in the Ho-Lee stochastic interest rate model under the invariant criteria.

Published in:

New Trends in Mathematical Sciences, 2017, v. 5, n. 1, p. 196, doi. 10.20852/ntmsci.2017.138

By:

Izgi, Burhaneddin;
Bakkaloglu, Ahmet

Publication type:

Article

Sraffian Thoughts in Full Marginalist Dress.

Published in:

Metroeconomica, 2013, v. 64, n. 4, p. 598, doi. 10.1111/meca.12022

By:

Steedman, Ian

Publication type:

Article

Uncertain contour process and its application in stock model with floating interest rate.

Published in:

Fuzzy Optimization & Decision Making, 2015, v. 14, n. 4, p. 399, doi. 10.1007/s10700-015-9211-y

By:

Yao, Kai

Publication type:

Article

Effect of correlation on bond prices in short rate models of interest rates.

Published in:

Mathematica Moravica, 2018, v. 22, n. 2, p. 89, doi. 10.5937/MatMor1802089G

By:

GIROVÁ, ZUZANA;
STEHÍKOVÁ, BEÁTA

Publication type:

Article

NATIONAL CURRENCY INSTABILITY.

Published in:

Annals of the University of Oradea, Economic Science Series, 2008, v. 17, n. 2, p. 159

By:

Anca, Gherman Maria;
Dragos, Huru

Publication type:

Article

A Simple Explanation of the Taylor Rulne.

Published in:

Economic Issues, 2017, v. 22, n. 1, p. 25

By:

Piergallini, Alessandro;
Rodano, Giorgio

Publication type:

Article

The affine inflation market models.

Published in:

Applied Mathematical Finance, 2017, v. 24, n. 4, p. 281, doi. 10.1080/1350486X.2017.1378582

By:

Waldenberger, Stefan

Publication type:

Article

Calibration of the Libor Market Model Using Correlations Implied by CMS Spread Options.

Published in:

Applied Mathematical Finance, 2010, v. 17, n. 5, p. 453, doi. 10.1080/13504860903541317

By:

Börger, ReikH.;
van Heys, Jan

Publication type:

Article

ESTIMATING FISCAL LIMITS: THE CASE OF GREECE.

Published in:

Journal of Applied Econometrics, 2014, v. 29, n. 7, p. 1053, doi. 10.1002/jae.2401

By:

Bi, Huixin;
Traum, Nora

Publication type:

Article

Un modelo de optimización estocástica para la valuación de una franquicia: un enfoque de opciones reales.

Published in:

Análisis Económico, 2009, v. 24, n. 57, p. 7

By:

Aké, Salvador Cruz;
Venegas-Martínez, Francisco;
Daza, Alfredo Sánchez

Publication type:

Article

An interest rate model in uncertain environment.

Published in:

Soft Computing - A Fusion of Foundations, Methodologies & Applications, 2015, v. 19, n. 3, p. 775, doi. 10.1007/s00500-014-1301-1

By:

Jiao, Dengya;
Yao, Kai

Publication type:

Article

Retrospectives Irving Fisher's Appreciation and Interest (1896) and the Fisher Relation.

Published in:

Journal of Economic Perspectives, 2012, v. 26, n. 4, p. 185, doi. 10.1257/jep.26.4.185

By:

Dimand, Robert W;
Betancourt, Rebeca Gomez

Publication type:

Article

Modelado de las decisiones de política monetaria en un marco discreto: el caso de México, 2004-2012.

Published in:

2013

By:

TÉLLEZ-LEÓN, ISELA ELIZABETH;
VENEGAS-MARTÍNEZ, FRANCISCO

Publication type:

Case Study

The dynamics of long forward rate term structures.

Published in:

Journal of Futures Markets, 2010, v. 30, n. 10, p. 957, doi. 10.1002/fut.20447

By:

Luo, Xingguo;
Zhang, Jin E.

Publication type:

Article

The Principal Principle.

Published in:

Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 6, p. 1215, doi. 10.1017/S0022109012000506

By:

Das, Sanjiv R.

Publication type:

Article

Term Structure Estimation with Survey Data on Interest Rate Forecasts.

Published in:

Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 1, p. 241, doi. 10.1017/S0022109011000627

By:

Kim, Don H.;
Orphanides, Athanasios

Publication type:

Article

Pricing Asian options of discretely monitored geometric average in the regime-switching model.

Published in:

Applied Stochastic Models in Business & Industry, 2016, v. 32, n. 6, p. 743, doi. 10.1002/asmb.2183

By:

Kim, Jerim;
Yoo, Hyun Joo;
Kim, Tae‐Wan

Publication type:

Article

A Bayesian approach to term structure modeling using heavy-tailed distributions.

Published in:

Applied Stochastic Models in Business & Industry, 2012, v. 28, n. 5, p. 430, doi. 10.1002/asmb.920

By:

Abanto-Valle, Carlos Antonio;
Lachos, Victor H.;
Ghosh, Pulak

Publication type:

Article

A FINITE-DIMENSIONAL HJM MODEL:: HOW IMPORTANT IS ARBITRAGE-FREE EVOLUTION?

Published in:

International Journal of Theoretical & Applied Finance, 2010, v. 13, n. 8, p. 1241, doi. 10.1142/S0219024910006182

By:

DEVIN, SIOBHÁN;
HANZON, BERNARD;
RIBARITS, THOMAS

Publication type:

Article

ARBITRAGE-FREE INTERPOLATION OF THE SWAP CURVE.

Published in:

International Journal of Theoretical & Applied Finance, 2009, v. 12, n. 7, p. 969, doi. 10.1142/S0219024909005543

By:

DAVIS, MARK H. A.;
MATAIX-PASTOR, VICENTE

Publication type:

Article

The Cox-Ingersoll-Ross Model Stationary Distribution as a Solution of the Kolmogorov Equation.

Published in:

Computer Science (1407-7493), 2011, v. 48, p. 69

By:

Zamovska, Olesja

Publication type:

Article

A Perpetuity, Life Annuity, and Life Insurance Related to a Decomposition of 1.

Published in:

Journal of Legal Economics, 2014, v. 21, n. 1, p. 57

By:

Skoog, Gary R.;
Ciecka, James E.

Publication type:

Article

Covariance of discounted compound renewal sums with a stochastic interest rate.

Published in:

Scandinavian Actuarial Journal, 2011, v. 2011, n. 2, p. 138, doi. 10.1080/03461231003665632

By:

Léveillé, Ghislain;
Adékambi, Franck

Publication type:

Article

The Dynamic Spread of the Forward CDS with General Random Loss.

Published in:

Abstract & Applied Analysis, 2014, p. 1, doi. 10.1155/2014/580713

By:

Kun Tian;
Dewen Xiong;
Zhongxing Ye

Publication type:

Article

Studying Term Structure of SHIBOR with the Two-Factor Vasicek Model.

Published in:

Abstract & Applied Analysis, 2014, p. 1, doi. 10.1155/2014/539230

By:

Chaoqun Ma;
Jian Liu;
Qiujun Lan

Publication type:

Article

Virtual Value of Natural Resources: A Marxist Explanation.

Published in:

Nature, Society & Thought, 2007, v. 20, n. 3/4, p. 327

By:

Yan Ma

Publication type:

Article

Multicurve LIBOR market models and drift-free simulation.

Published in:

International Journal of Computer Mathematics, 2017, v. 94, n. 11, p. 2194, doi. 10.1080/00207160.2016.1247440

By:

Fernández, J. L.;
Nogueiras, M. R.;
Pou, M.;
Vázquez, C.

Publication type:

Article

New method to option pricing for the general black-scholes model—An actuarial approach.

Published in:

Applied Mathematics & Mechanics, 2003, v. 24, n. 7, p. 826, doi. 10.1007/BF02437815

By:

Yan Hai-feng;
Liu San-yang

Publication type:

Article

Common Risk Factors in Currency Markets.

Published in:

Review of Financial Studies, 2011, v. 24, n. 11, p. 3731, doi. 10.1093/rfs/hhr068

By:

Lustig, Hanno;
Roussanov, Nikolai;
Verdelhan, Adrien

Publication type:

Article

Barrier Caps and Floors under the LIBOR Market Model with Double Exponential Jumps.

Published in:

Journal of Derivatives, 2014, v. 21, n. 4, p. 7, doi. 10.3905/jod.2014.21.4.007

By:

JUI-JANE CHANG;
SON-NAN CHEN;
CHUN-CHAO WANG;
TING-PIN WU

Publication type:

Article

VALUATION OF CMS Spread Options with Nonzero Strike Rates in the LIBOR Market Model.

Published in:

Journal of Derivatives, 2011, v. 19, n. 1, p. 41, doi. 10.3905/jod.2011.19.1.041

By:

WU, TING-PIN;
CHEN, SON-NAN

Publication type:

Article

An Efficient Lattice Algorithm for the LIBOR Market Model.

Published in:

Journal of Derivatives, 2011, v. 19, n. 1, p. 25, doi. 10.3905/jod.2011.19.1.025

By:

XIAO, TIM

Publication type:

Article

A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling.

Published in:

Journal of Fixed Income, 2016, v. 25, n. 3, p. 36

By:

RUSSO, VlNCENZO;
FABOZZI, FRANK J.

Publication type:

Article

Efficient adaptive regression spline algorithms based on mapping approach with a case study on finance.

Published in:

Journal of Global Optimization, 2014, v. 60, n. 1, p. 103, doi. 10.1007/s10898-014-0211-1

By:

Koc, Elcin;
Iyigun, Cem;
Batmaz, İnci;
Weber, Gerhard-Wilhelm

Publication type:

Article