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:
- Publication type:
- Article
Works about MATHEMATICAL models of interest rates
Results: 67
1
2
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:
- Publication type:
- Article
3
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:
- Publication type:
- Article
4
APPLICATION OF MAXIMUM LIKELIHOOD ESTIMATION TO STOCHASTIC SHORT RATE MODELS.
- Published in:
- Annals of Financial Economics, 2015, v. 10, n. 2, p. 1, doi. 10.1142/S2010495215500098
- By:
- Publication type:
- Article
5
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:
- Publication type:
- Article
6
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:
- Publication type:
- Article
7
Interest Rate Modelling in the Multi-curve Framework.
- Published in:
- 2016
- By:
- Publication type:
- Book Review
8
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:
- Publication type:
- Article
9
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:
- Publication type:
- Article
10
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:
- Publication type:
- Article
11
The Principal Principle.
- Published in:
- Journal of Financial & Quantitative Analysis, 2012, v. 47, n. 6, p. 1215, doi. 10.1017/S0022109012000506
- By:
- Publication type:
- Article
12
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:
- Publication type:
- Article
13
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:
- Publication type:
- Article
14
Sraffian Thoughts in Full Marginalist Dress.
- Published in:
- Metroeconomica, 2013, v. 64, n. 4, p. 598, doi. 10.1111/meca.12022
- By:
- Publication type:
- Article
15
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:
- Publication type:
- Article
16
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:
- Publication type:
- Article
17
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:
- Publication type:
- Article
18
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:
- Publication type:
- Article
19
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:
- Publication type:
- Article
20
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:
- Publication type:
- Article
21
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:
- Publication type:
- Article
22
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:
- Publication type:
- Article
23
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:
- Publication type:
- Article
24
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:
- Publication type:
- Article
25
Measuring the natural yield curve.
- Published in:
- Applied Economics, 2014, v. 46, n. 17, p. 2052, doi. 10.1080/00036846.2013.829204
- By:
- Publication type:
- Article
26
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:
- Publication type:
- Article
27
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:
- Publication type:
- Article
28
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:
- Publication type:
- Article
29
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:
- Publication type:
- Article
30
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:
- Publication type:
- Article
31
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:
- Publication type:
- Article
32
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:
- Publication type:
- Article
33
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:
- Publication type:
- Article
34
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:
- Publication type:
- Article
35
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:
- Publication type:
- Article
36
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:
- Publication type:
- Article
37
Exploring Fiscal Policy at Zero Interest Rates in Intermediate Macroeconomics.
- Published in:
- Journal of Economic Education, 2013, v. 44, n. 4, p. 353, doi. 10.1080/00220485.2013.825113
- By:
- Publication type:
- Article
38
The Simple Analytics of Monetary Policy: A Post-Crisis Approach.
- Published in:
- Journal of Economic Education, 2013, v. 44, n. 4, p. 311, doi. 10.1080/00220485.2013.825109
- By:
- Publication type:
- Article
39
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:
- Publication type:
- Article
40
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:
- Publication type:
- Article
41
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:
- Publication type:
- Article
42
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:
- Publication type:
- Article
43
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:
- Publication type:
- Article
44
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:
- Publication type:
- Article
45
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:
- Publication type:
- Article
46
Modelado de las decisiones de política monetaria en un marco discreto: el caso de México, 2004-2012.
- Published in:
- 2013
- By:
- Publication type:
- Case Study
47
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
48
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:
- Publication type:
- Article
49
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:
- Publication type:
- Article
50
The affine inflation market models.
- Published in:
- Applied Mathematical Finance, 2017, v. 24, n. 4, p. 281, doi. 10.1080/1350486X.2017.1378582
- By:
- Publication type:
- Article