AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward interest rates with deterministic coefficients and Gaussian as well as Lévy field noise terms is given. In the special case where the Lévy field is absent, one recovers a model discussed by D.P. Kennedy
AbstractIn this paper, we study the term structure of forward interest rates in discrete time settin...
Abstract. The present paper analyses a broad range of one { and multifactor models of the term struc...
The analysis of the forward rate curve for enough wide class of one-factor affine models of the term...
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
We examine the term structure model proposed by Kennedy (1994). The model assumes that the interest...
The current environment with very low interest rates creates difficulties for many existing term str...
Random field models have provided a flexible environment in which the properties of the term structu...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of inte...
In this paper, we simulate the term structure of interest rates, where the yield curve is based on f...
We present an economically motivated two-factor term structure model that generalizes existing stoch...
The purpose of this paper is twofold. First, by focusing on Single Equation and VECM techniques comm...
he present paper analyses a broad range of one- and multifactor models of the term structure of inte...
The term structure of interest rates plays the key role in pricing of bonds. Therefore its properti...
Copyright q 2012 Marco Di Francesco. This is an open access article distributed under the Creative C...
We present an economically motivated two-factor term structure model that generalizes existing stoch...
AbstractIn this paper, we study the term structure of forward interest rates in discrete time settin...
Abstract. The present paper analyses a broad range of one { and multifactor models of the term struc...
The analysis of the forward rate curve for enough wide class of one-factor affine models of the term...
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
We examine the term structure model proposed by Kennedy (1994). The model assumes that the interest...
The current environment with very low interest rates creates difficulties for many existing term str...
Random field models have provided a flexible environment in which the properties of the term structu...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of inte...
In this paper, we simulate the term structure of interest rates, where the yield curve is based on f...
We present an economically motivated two-factor term structure model that generalizes existing stoch...
The purpose of this paper is twofold. First, by focusing on Single Equation and VECM techniques comm...
he present paper analyses a broad range of one- and multifactor models of the term structure of inte...
The term structure of interest rates plays the key role in pricing of bonds. Therefore its properti...
Copyright q 2012 Marco Di Francesco. This is an open access article distributed under the Creative C...
We present an economically motivated two-factor term structure model that generalizes existing stoch...
AbstractIn this paper, we study the term structure of forward interest rates in discrete time settin...
Abstract. The present paper analyses a broad range of one { and multifactor models of the term struc...
The analysis of the forward rate curve for enough wide class of one-factor affine models of the term...
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