Continuous-time term structure models: Forward measure approach

Marek Musiela; Marek Rutkowski

doi:10.1007/s007800050025

Continuous-time term structure models: Forward measure approach

Finance and Stochastics ◽

10.1007/s007800050025 ◽

1997 ◽

Vol 1 (4) ◽

pp. 261-291 ◽

Cited By ~ 97

Author(s):

Marek Musiela ◽

Marek Rutkowski

Keyword(s):

Term Structure ◽

Continuous Time ◽

Term Structure Models ◽

Forward Measure ◽

Time Term

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Maximum Likelihood Estimation of Non-Linear Continuous-Time Term-Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.7669 ◽

1996 ◽

Cited By ~ 7

Author(s):

Peter Honore

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Term Structure ◽

Continuous Time ◽

Likelihood Estimation ◽

Term Structure Models ◽

Non Linear ◽

Time Term

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Forecasting U.K. and U.S. interest rates using continuous time term structure models

International Review of Financial Analysis ◽

10.1016/s1057-5219(99)80013-1 ◽

1998 ◽

Vol 7 (3) ◽

pp. 191-206 ◽

Cited By ~ 7

Author(s):

S.L. Byers ◽

K.B. Nowman

Keyword(s):

Interest Rates ◽

Term Structure ◽

Continuous Time ◽

Term Structure Models ◽

Time Term

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

SSRN Electronic Journal ◽

10.2139/ssrn.858724 ◽

2005 ◽

Cited By ~ 2

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

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How do invariant transformations affect the calibration and optimization of the Kalman filtering algorithm used in the estimation of continuous-time affine term structure models?

Computational Management Science ◽

10.1007/s10287-020-00380-7 ◽

2020 ◽

Author(s):

Januj Amar Juneja

Keyword(s):

Term Structure ◽

Kalman Filtering ◽

Continuous Time ◽

Affine Term Structure ◽

Filtering Algorithm ◽

Affine Term Structure Models ◽

Term Structure Models ◽

Kalman Filtering Algorithm

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Two extensions for fitting discrete time term structure models with normally distributed factors

Applied Mathematical Finance ◽

10.1080/1350486042000228717 ◽

2004 ◽

Vol 11 (3) ◽

pp. 187-205 ◽

Cited By ~ 1

Author(s):

Şenay Ağca ◽

Don M. Chance

Keyword(s):

Term Structure ◽

Discrete Time ◽

Term Structure Models ◽

Time Term ◽

Normally Distributed

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A Computational Analysis of the Tradeoff in the Estimation of Different State Space Specifications of Continuous Time Affine Term Structure Models

Computational Economics ◽

10.1007/s10614-021-10146-1 ◽

2021 ◽

Author(s):

Januj Amar Juneja

Keyword(s):

State Space ◽

Term Structure ◽

Continuous Time ◽

Computational Analysis ◽

Affine Term Structure ◽

Affine Term Structure Models ◽

Term Structure Models

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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

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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

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Risk Premia and Wishart Term Structure Models

SSRN Electronic Journal ◽

10.2139/ssrn.1573184 ◽

2010 ◽

Cited By ~ 3

Author(s):

Carl Chiarella ◽

Chih-Ying Hsiao ◽

Thuy Duong To

Keyword(s):

Term Structure ◽

Risk Premia ◽

Term Structure Models

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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

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