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- Yield Curve Arbitrage in Eur Swap Rates
- Stochastic Particle Models: Mean Reversion and Burgers Dynamics
- Mathematical Models for Interest Rate Dynamics Xiaoxue Shan Louisiana State University and Agricultural and Mechanical College, [email protected]
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- Difficulties in Modeling Interest Rates
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- Term Structure Models: a Perspective from the Long Rate
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- A Comparative Study of the Vasicek and the CIR Model of the Short Rate
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- The Term Structure of Interest Rates: Alternative Approaches and Their Implications for the Valuation of Contingent Claims
- Forecasting Credit Spreads: a Machine Learning Approach
- Three Ways to Solve for Bond Prices in the Vasicek Model
- Emergent Behavior in Multiplicative Critical Processes and Applications to Economy
- Estimating and Testing Risk Approaches
- The 10-Year Minus 3-Month Treasury Yield Spread
- Pricing and Hedging Fixed Income Derivatives Under Negative Interest Rates: an SABR Approach
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- Catastrophe Bond Pricing for the Two-Factor Vasicek Interest Rate Model with Automatized Fuzzy Decision Making
- Interest Rate Models Summary of This Presentation
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- Gaussian Multi-Factor Interest Rate Models: Theory, Estimation, And
- Arxiv:2011.10113V1 [Q-Fin.TR] 19 Nov 2020
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- Estimating Term Structure of Interest Rates: Neural Network Vs One Factor Parametric Models
- Binomial Term Structure Models in This Article, the Authors Develop Several Discrete Versions of Term Structure Models and Study Their Major Properties
- Credit Risk Modeling
- The SABR Model in a Negative Interest Rate Framework Theory and Practice
- The Vasicek and the Hull-White Extension of the Vasicek Model)
- The Long Bond, Long Forward Measure and Long-Term
- Interest Rate Models Under Solvency II
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- Stochastic Volatility, a New Approach for Vasicek Model with Stochastic Volatility
- Three Ways to Solve for Bond Prices in the Vasicek Model
- Vasicak Beyond the Normal.Pdf
- Calibration of Vasicek Model in a Hidden Markov Context: the Case of Kenya
- The Black-Derman-Toy Modela • This Model Is Extensively Used by Practitioners
- Short Rates and Bond Prices in One-Factor Models
- Extended One-Factor Short-Rate Models
- Affine Term-Structure Models: Theory and Implementation
- The Vasicek Model Fitted by the Kalman Filter Applied to the Long-Run Term Structure
- Two-Factor Hull-White Models
- One-Factor Short-Rate Models
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- A Stochastic Processes Toolkit for Risk Management 3
- GARCH(1,1) Models
- Machine Learning for Multiple Yield Curve Markets: Fast Calibration in the Gaussian Affine Framework
- Nber Working Paper Seres Arbitrage Opportunities In
- Modeling the Yield Curve Financial Markets, Day 3, Class 3
- Vasicek and CIR Model
- Pricing European Equity Options Based on Vasicek Interest Rate Model
- Theory of Financial Risks