Multi-factor Cox-Ingersoll-Ross models of the term structure: Estimates and tests from a Kalman filter model
RR Chen, L Scott - The Journal of Real Estate Finance and Economics, 2003 - Springer
This paper presents a method for estimating multi-factor versions of the Cox-Ingersoll-Ross
(1985b) model of the term structure of interest rates. The fixed parameters in one, two, and …
(1985b) model of the term structure of interest rates. The fixed parameters in one, two, and …
Arbitrage opportunities in arbitrage-free models of bond pricing
Mathematical models of bond pricing are used by both academics and Wall Street
practitioners, with practitioners introducing time-dependent parameters to fit “arbitrage-free” …
practitioners, with practitioners introducing time-dependent parameters to fit “arbitrage-free” …
Risk management implications of time-inconsistency: Model updating and recalibration of no-arbitrage models
A Buraschi, F Corielli - Journal of Banking & Finance, 2005 - Elsevier
A widespread approach in the implementation of asset pricing models is based on the
periodic recalibration of its parameters and initial conditions to eliminate any conflict …
periodic recalibration of its parameters and initial conditions to eliminate any conflict …
[PDF][PDF] Staying ahead of the curve: model risk and the term structure
A Buraschi, F Corielli - Unpublished working paper, London Business …, 2000 - Citeseer
This paper explores some issues of model risk in asset pricing, in particular
timeinconsistency. Since Ho and Lee (1986), a new class of no-arbitrage models have …
timeinconsistency. Since Ho and Lee (1986), a new class of no-arbitrage models have …
[PDF][PDF] The recalibration of no-arbitrage models: Risk management implications of time-inconsistency
A Buraschi, F Corielli - Journal of Banking and Finance - Citeseer
A widespread approach in the implementation of asset pricing models is based on the
periodic recalibration of its parameters and initial conditions to eliminate any conflict …
periodic recalibration of its parameters and initial conditions to eliminate any conflict …
[PDF][PDF] ERN STERNSCHOOLOFBUSINESS
D Backus, SFS Zin - w4.stern.nyu.edu
Mathematical models of bond pricingare used by both academicsand Wal Street
practitioners, with practitionersintroducingtime-dependent parameterstoft “arbitrage-free” …
practitioners, with practitionersintroducingtime-dependent parameterstoft “arbitrage-free” …
[PDF][PDF] Arm Prepayment in Theory and Practice: Justifying Backward and Forward Path Dependence in a Hazard Function
GM Schwann, NE Wallace - 1991 - escholarship.org
This paper develops an empirical model of rational ARM prepayment. The theoretical model
addresses the borrower heterogeneity problem directly. A central concern in the formulation …
addresses the borrower heterogeneity problem directly. A central concern in the formulation …
[PDF][PDF] Cox-Ingersoll-Ross general equilibrium term structure theories
J Korpela - 1994 - aaltodoc.aalto.fi
Results A detailed derivation of the Cox-Ingersoll-Ross general equilibrium model is given.
Generalization to a non-linear two factor Cobb-Douglas production function specification is …
Generalization to a non-linear two factor Cobb-Douglas production function specification is …
Arbitrage Opportunities in Arbitrage-Free Models of Bond Pricing
B David, S Foresi, S Zin - 1996 - archive.nyu.edu
Mathematical models of bond pricing are used by both academics and Wall Street
practitioners, with practitioners introducing time-dependent parameters to fit “arbitrage-free” …
practitioners, with practitioners introducing time-dependent parameters to fit “arbitrage-free” …