Add to ORKGThe analysis of the forward rate curve for enough wide class of one-factor affine models of the term structure that includes not only Vasiиek’s Gaussian model and CIR model «with a square root» but also models with any levels of the lower boundary of the short term (riskless) interest rate (see [13, 14, 16]) is resulted. The special attention is given to the problem connected with the tendency for the term structure of long term forward rates to slope downwards
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
The current environment with very low interest rates creates difficulties for many existing term str...
We address two empirical issues related to the long end of the yield curve based on euro swap rates....
The analysis of the forward rate curve for enough wide class of one factor affine models of the term...
The analysis of the forward rate curve for enough wide class of one factor affine models of the term...
The term structure of interest rates plays the key role in pricing of bonds. Therefore its properti...
The paper documents a persistent and thus far largely overlooked empirical regularity in the yield c...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of int...
Properties of such characteristics of term structure of interest rates as yield curve and forward r...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of inte...
We make two contributions to the study of interest rates. The first is to characterize their dynamic...
Using a non-Gaussian affine term-structure model, this paper evaluates the effectiveness of the date...
This book is dedicated to the study of the term structures of the yields of zero-coupon bonds. The m...
This article develops and estimates a dynamic arbitrage-free model of the current forward curve as t...
The multifactor model “with square root” is discussed in details. For such model, the representation...
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
The current environment with very low interest rates creates difficulties for many existing term str...
We address two empirical issues related to the long end of the yield curve based on euro swap rates....
The analysis of the forward rate curve for enough wide class of one factor affine models of the term...
The analysis of the forward rate curve for enough wide class of one factor affine models of the term...
The term structure of interest rates plays the key role in pricing of bonds. Therefore its properti...
The paper documents a persistent and thus far largely overlooked empirical regularity in the yield c...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of int...
Properties of such characteristics of term structure of interest rates as yield curve and forward r...
Heath, Jarrow, and Morton (1992) present a general framework for modeling the term structure of inte...
We make two contributions to the study of interest rates. The first is to characterize their dynamic...
Using a non-Gaussian affine term-structure model, this paper evaluates the effectiveness of the date...
This book is dedicated to the study of the term structures of the yields of zero-coupon bonds. The m...
This article develops and estimates a dynamic arbitrage-free model of the current forward curve as t...
The multifactor model “with square root” is discussed in details. For such model, the representation...
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
The current environment with very low interest rates creates difficulties for many existing term str...
We address two empirical issues related to the long end of the yield curve based on euro swap rates....