Dynamic term structure models for SOFR futures

Journal of Futures Markets ◽

10.1002/fut.22246 ◽

2021 ◽

Author(s):

Jacob Bjerre Skov ◽

David Skovmand

Keyword(s):

Term Structure ◽

Term Structure Models

Download Full-text

Point-in-time probability of default term structure models for multiperiod scenario loss projection

The Journal of Risk Model Validation ◽

10.21314/jrmv.2017.164 ◽

2017 ◽

Author(s):

Bill Huajian Yang

Keyword(s):

Term Structure ◽

Probability Of Default ◽

Term Structure Models

Download Full-text

An Empirical Evaluation of the Estimation of Affine Term Structure Models: How Invariant Affine Transformations and Rotations Lead to Improved Empirical Performance

SSRN Electronic Journal ◽

10.2139/ssrn.1361050 ◽

2009 ◽

Author(s):

Januj Juneja

Keyword(s):

Term Structure ◽

Empirical Evaluation ◽

Affine Transformations ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Empirical Performance

Download Full-text

Risk Premia and Wishart Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.1573184 ◽

2010 ◽

Author(s):

Carl Chiarella ◽

Chih-Ying Hsiao ◽

Thuy Duong To

Keyword(s):

Term Structure ◽

Risk Premia ◽

Term Structure Models

Download Full-text

Affine Jump Term Structure Models: Statistical Tests, Expectation Puzzles and Conditional Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1784438 ◽

2011 ◽

Author(s):

Zhaogang Song ◽

Haitao Li

Keyword(s):

Term Structure ◽

Statistical Tests ◽

Conditional Volatility ◽

Term Structure Models

Download Full-text

Term Structure Models with Differences in Beliefs (Online Appendix)

SSRN Electronic Journal ◽

10.2139/ssrn.2050468 ◽

2011 ◽

Author(s):

Andrea Buraschi ◽

Paul Whelan

Keyword(s):

Term Structure ◽

Term Structure Models ◽

Online Appendix

Download Full-text

Algorithms behind Term Structure Models of Interest Rates II: The Hull-White Trinomial Tree of Interest Rates

SSRN Electronic Journal ◽

10.2139/ssrn.292223 ◽

2001 ◽

Author(s):

Markus Leippold ◽

Zvi Wiener

Keyword(s):

Interest Rates ◽

Term Structure ◽

Term Structure Models ◽

Download Full-text

Interest Rate Risk in the Banking Book: Management with Discrete-time Affine ℚ Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.3395595 ◽

2019 ◽

Author(s):

Andreas Bloechlinger

Keyword(s):

Interest Rate ◽

Term Structure ◽

Discrete Time ◽

Interest Rate Risk ◽

Term Structure Models ◽

Download Full-text

Panel-Data Estimation of Non-Linear Term-Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.82369 ◽

1998 ◽

Author(s):

Peter Honore

Keyword(s):

Term Structure ◽

Linear Term ◽

Panel Data Estimation ◽

Term Structure Models ◽

Data Estimation

Download Full-text

Diagnosing Multivariate Continuous-Time Models with Application to Affine Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.858724 ◽

2005 ◽

Author(s):

Bin Chen ◽

Yongmiao Hong

Keyword(s):

Term Structure ◽

Continuous Time ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Continuous Time Models

Download Full-text

Approximations of Transition Densities for Nonlinear Multivariate Diffusions with an Application to Dynamic Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.892234 ◽

2006 ◽

Author(s):

Paul Georg Schneider

Keyword(s):

Term Structure ◽

Term Structure Models ◽

Transition Densities

Download Full-text