Add to ORKGRandom field models have provided a flexible environment in which the properties of the term structure of interest rates are captured almost as observed. In this study we provide an overview of the forward rate random fiield models and propose an extension in which the forward rates fluctuate along with a two parameter process represented by a random field. We then provide a mathematical expression of the yield curve under this model and sketch the prospective utilities and applications of this model for interest rate management.M.S. - Master of Scienc
In this dissertation, we introduce a general interest rate modeling framework by looking at yield cu...
This paper tests the one good stochastic growth model with respect to its ability to explain the ter...
he present paper analyses a broad range of one- and multifactor models of the term structure of inte...
In this paper, we simulate the term structure of interest rates, where the yield curve is based on f...
In this paper we consider discrete time forward interest rate models. In our approach, unlike in the...
AbstractIn this paper, we study the term structure of forward interest rates in discrete time settin...
We examine the term structure model proposed by Kennedy (1994). The model assumes that the interest...
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
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...
Motivated by stylized statistical properties of interest rates, we propose a modeling approach in wh...
Motivated by stylized statistical properties of interest rates, we propose a modeling ap-proach in w...
The term structure of interest rates plays the key role in pricing of bonds. Therefore its properti...
This article develops and estimates a dynamic arbitrage-free model of the current forward curve as t...
We make two contributions to the study of interest rates. The first is to characterize their dynamic...
In this dissertation, we introduce a general interest rate modeling framework by looking at yield cu...
This paper tests the one good stochastic growth model with respect to its ability to explain the ter...
he present paper analyses a broad range of one- and multifactor models of the term structure of inte...
In this paper, we simulate the term structure of interest rates, where the yield curve is based on f...
In this paper we consider discrete time forward interest rate models. In our approach, unlike in the...
AbstractIn this paper, we study the term structure of forward interest rates in discrete time settin...
We examine the term structure model proposed by Kennedy (1994). The model assumes that the interest...
AbstractAn extension of the Heath–Jarrow–Morton model for the development of instantaneous forward i...
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...
Motivated by stylized statistical properties of interest rates, we propose a modeling approach in wh...
Motivated by stylized statistical properties of interest rates, we propose a modeling ap-proach in w...
The term structure of interest rates plays the key role in pricing of bonds. Therefore its properti...
This article develops and estimates a dynamic arbitrage-free model of the current forward curve as t...
We make two contributions to the study of interest rates. The first is to characterize their dynamic...
In this dissertation, we introduce a general interest rate modeling framework by looking at yield cu...
This paper tests the one good stochastic growth model with respect to its ability to explain the ter...
he present paper analyses a broad range of one- and multifactor models of the term structure of inte...