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Fadina, Tolulope [Author]; Schmidt, Thorsten [Author]

Default ambiguity

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Basel: MDPI, 2019

Published in: Risks ; 7, 2 (2019), 64
Harms, Philipp [Author]; Stefanovits, David [Author]; Teichmann, Josef [Author]

Consistent re-calibration of the discrete-time multifactor Vasiček model

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Basel: MDPI Seiten, 2016

Published in: Risks ; 4, 3 (2016), 18
Gümbel, Sandrine [Author]

Dynamic term structure modeling beyond the paradigm of absolute continuity

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Freiburg, [2019?]
Acar, S. [Author]; Natcheva-Acar, K. [Author]

A guide on the implementation of the Heath-Jarrow-Morton Two-Factor Gaussian Short Rate Model (HJM-G2++)

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https://kluedo.ub.rptu.de/frontdoor/index/index/docId/2144

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KLUEDO - Publication Server of University of Kaiserslautern-Landau (RPTU), 2009
Polley, Manuel [Author]

Die Edgeworth-Approximation zur Kalibrierung eines Lévy-Hybridmodells unter dem physikalischen Maß

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Freiburg im Breisgau, Juni 2016
Harms, Philipp [Author]; Stefanovits, David [Author]; Teichmann, Josef [Author]; Wüthrich, Mario V. [Author]

Consistent re-calibration of the discrete-time multifactor Vasicek model

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Basel: MDPI, 2016
Fadina, Tolulope [Author]; Schmidt, Thorsten [Author]

Default ambiguity

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Basel: MDPI, 2019
Gerhart, Christoph [Author]

A multiple-curve Lévy forward rate model in a two-price economy

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https://freidok.uni-freiburg.de/data/11132

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University of Freiburg: FreiDok, 2016
Gerhart, Christoph [Author]

A multiple-curve Lévy forward rate model in a two-price economy

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Freiburg im Breisgau, Juni 2016
Gerhart, Christoph [Author] ; Eberlein, Ernst [Degree supervisor]

A multiple-curve Lévy forward rate model in a two-price economy

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https://d-nb.info/1122647689/34

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Freiburg: Universität, 2016
Tappe, Stefan [Author] ; Kallsen, Jan [Contributor]; Björk, Tomas [Contributor]; Küchler, Uwe [Contributor]

Finite dimensional realizations for term structure models driven by semimartingales

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http://edoc.hu-berlin.de/18452/16021

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Humboldt-Universität zu Berlin, Mathematisch-Naturwissenschaftliche Fakultät II, 2005-11-10
Celary, Andreas [Author]; Eksi-Altay, Zehra [Author]; Krühner, Paul [Author]

Regime-switching affine term structures

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https://www.tandfonline.com/doi/pdf/10.1080/14697688.2023.2288871

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2024

Published in: Quantitative finance ; 24(2024), 1, Seite 139-155
Björk, Tomas [Author]; Landén, Camilla [Author]; Svensson, Lars [Author]

Finite dimensional Markovian realizations for stochastic volatility forward rate models

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http://hdl.handle.net/10419/56361

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Stockholm: Stockholm School of Economics, The Economic Research Institute (EFI), 2002
Björk, Tomas [Author]; Landén, Camilla [Author]

On the construction of finite dimensional realizations for nonlinear forward rate models

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http://hdl.handle.net/10419/56307

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Stockholm: Stockholm School of Economics, The Economic Research Institute (EFI), 2000
Gaspar, Raquel M. [Author]

Finite dimensional realizations of forward price term structure models

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http://hdl.handle.net/10419/56225

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Stockholm: Stockholm School of Economics, The Economic Research Institute (EFI), 2004
Macrina, Andrea [Author]; Mahomed, Obeid [Author]

Consistent valuation across curves using pricing kernels

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Basel: MDPI, 2018
Kratsios, Anastasis [Author]; Hyndman, Cody [Author]

Deep arbitrage-free learning in a generalized HJM framework via arbitrage-regularization

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Basel: MDPI, 2020
Kennedy, Gary J. [Author]

Swap Futures in HJM One-Factor Model

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https://ssrn.com/abstract=1648419

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[S.l.]: SSRN, [2010]
Filipović, Damir [Author] ; Delbaen, Freddy [Contributor]; Embrechts, Paul [Contributor]

Consistency problems for HJM interest rate models

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https://hdl.handle.net/20.500.11850/144529

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ETH Zürich, 2000
Minnis, Mark A. [Author]

Correct Numeraire/Bond Correlation in One-Factor HJM Models

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https://ssrn.com/abstract=2308141

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[S.l.]: SSRN, [2013]

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