Works matching DE "MATHEMATICAL models of interest rates"

Results: 67

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

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

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

Multiple stochastic volatility extension of the Libor market model and its implementation.

Published in:

Monte Carlo Methods & Applications, 2009, v. 15, n. 4, p. 285, doi. 10.1515/MCMA.2009.016

By:

Belomestny, Denis;
Mathew, Stanley;
Schoenmakers, John

Publication type:

Article

The Natural Rate of Interest and Its Usefulness for Monetary Policy.

Published in:: American Economic Review, 2014, v. 104, n. 5, p. 37, doi. 10.1257/aer.104.5.37
Publication type:: Article

Term Premia and Inflation Uncertainty: Empirical Evidence from an International Panel Dataset: Comment.

Published in:

American Economic Review, 2014, v. 104, n. 1, p. 323, doi. 10.1257/aer.104.1.323

By:

Bauer, Michael D.;
Rudebusch, Glenn D.;
Wu, Jing Cynthia

Publication type:

Article

Unconventional Fiscal Policy at the Zero Bound.

Published in:

American Economic Review, 2013, v. 103, n. 4, p. 1172, doi. 10.1257/aer.103.4.1172

By:

Correia, Isabel;
Farhi, Emmanuel;
Nicolini, Juan Pablo;
Teles, Pedro

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

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

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

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 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

Portfolio separation and the dynamics of bank interest rates.

Published in:

Scottish Journal of Political Economy, 2012, v. 59, n. 1, p. 28, doi. 10.1111/j.1467-9485.2011.0567.x

By:

Dia, Enzo;
Giuliodori, Massimo

Publication type:

Article

Old and new approaches to LIBOR modeling.

Published in:

Statistica Neerlandica, 2010, v. 64, n. 3, p. 257, doi. 10.1111/j.1467-9574.2010.00458.x

By:

Papapantoleon, Antonis

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

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

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

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

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

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

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

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

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

A model for interest rates with clustering effects.

Published in:

Quantitative Finance, 2016, v. 16, n. 8, p. 1203, doi. 10.1080/14697688.2015.1135251

By:

Hainaut, Donatien

Publication type:

Article

Interest Rate Modelling in the Multi-curve Framework.

Published in:

2016

By:

Morini, Massimo

Publication type:

Book Review

A hybrid commodity and interest rate market model.

Published in:

Quantitative Finance, 2013, v. 13, n. 4, p. 543, doi. 10.1080/14697688.2011.627879

By:

Pilz, K. F.;
Schlögl, E.

Publication type:

Article

A perturbative approach to Bermudan options pricing with applications.

Published in:

Quantitative Finance, 2013, v. 13, n. 2, p. 255, doi. 10.1080/14697688.2011.589400

By:

Baviera, Roberto;
Giada, Lorenzo

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

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

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

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

Frank Ramsey's A Mathematical Theory of Saving.

Published in:

Economic Journal, 2015, v. 125, n. 583, p. 269, doi. 10.1111/ecoj.12229

By:

Attanasio, Orazio P.

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 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

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

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

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

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