This paper decomposes nominal Treasury yields into expected real rates, expected inflation
rates, real risk premiums, and inflation risk premiums by separately calibrating a three-factor …

The skew, irrespective of the mean and variance, of investors' interest rate expectations may
affect required bond yields over expected short rates. Indeed, evidence suggests that the …

Page 1 6. () LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS Markus
Bouziane Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach 2. Springer Page …

Almost all economic activities in modern societies are scattered through space and time.
Transport processes, as a consequence, pervade everyday life and they have deep impact …

This thesis contains three essays on mathematical finance. The first discusses
approximation methods for pricing swaptions based on moment expansions with multi-factor …

У затвердженій Радою НБУ грошово-кредитній політиці на 2017 рік «Основні засади
грошово-кредитної політики на 2017 рік та середньострокову перспективу» наголошено …