After the? rst edition of this book was published in early 2005, the world has changed
dramatically and at a pace never seen before. The changes that-curred in 2008 and 2009 …

This study presents new evidence on stock market integration by investigating the implied
volatility term structure linkages between the newly introduced VDAX, VSMI, and VSTOXX …

Zero-coupon interest rates are the fundamental building block of fixed-income mathematics,
and as such have an extensive number of applications in both finance and economics. The …

Our main goal is to investigate the question of which interest‐rate options valuation models
are better suited to support the management of interest‐rate risk. We use the German market …

In this paper we perform a thorough empirical study of tenor-dependent term structures
which reveals important cross-tenor dependencies of yields as a persistent feature of post …

The aim of this paper is to develop models for producing accurate forecasts for the
correlation of spot and forward interest rates. Correlation forecasts generated from factor …

The purpose of the study is to define the main investment characteristics of the Indonesian
government bond market during the COVID-19 pandemic. The subject of the analysis is the …

In this paper, principal component analysis (PCA) is applied to three different
parametrization of interest rates: zero rates, yield curve, and forward rates. This comparative …

本文应用主成分分析方法研究国债收益率曲线变动模式的影响因素, 发现水平因素,
倾斜因素和曲率因素可以分别解释收益率曲线变化的41.67%, 32.29% 和16.88 …

对目前利率期限结构的研究状况进行一个评述性的研究, 从5 个方面介绍和分析了国内外有关
利率期限结构的研究. 这5 个方面包括: 利率期限结构形成假设; 利率期限结构静态估计; …