Tools
Sorted by:
Try your query at:
 |
 |
 |
 |
 |
 |
Results 1 - 10
of
144,684
Descriptive bond-yield and forward-rate models for the British government securities’ market
- British Actuarial Journal
, 1998
"... This paper discusses possible approaches to the construction of gilt yield indices published by the Financial Times. The existing method, described by Dobbie & Wilkie (1978) splits bonds into high-, medium- and low-coupon bands and fits separate yield curves to each. This method has been identif ..."
Abstract
-
Cited by 15 (7 self)
- Add to MetaCart
effect has been removed. This has made the use of a single forward-rate curve appropriate for the first time. A particular form of forward-rate curve is proposed as the basis for a revision of the gilt yield indices. This curve appears to give a significantly better fit than the present yield-curve model
Finite dimensional Markovian realizations for stochastic volatility forward rate models
- PROCEEDINGS OF THE ROYAL SOCIETY
, 2002
"... We consider forward rate rate models of Heath-Jarrow-Morton type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework we use the previously developed Hilbert spac ..."
Abstract
-
Cited by 3 (0 self)
- Add to MetaCart
We consider forward rate rate models of Heath-Jarrow-Morton type, as well as more general infinite dimensional SDEs, where the volatility/diffusion term is stochastic in the sense of being driven by a separate hidden Markov process. Within this framework we use the previously developed Hilbert
On the construction of finite dimensional realizations for nonlinear forward rate models
, 2000
"... ..."
A yield-factor model of interest rates
- Math. Finance
, 1996
"... This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a matur ..."
Abstract
-
Cited by 665 (23 self)
- Add to MetaCart
This paper presents a consistent and arbitrage-free multifactor model of the term structure of interest rates in which yields at selected fixed maturities follow a parametric multivariate Markov diffusion process with “stochastic volatility. ” The yield of any zero-coupon bond is taken to be a
Empirical exchange rate models of the Seventies: do they fit out of sample?
- JOURNAL OF INTERNATIONAL ECONOMICS
, 1983
"... This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar exch ..."
Abstract
-
Cited by 854 (12 self)
- Add to MetaCart
This study compares the out-of-sample forecasting accuracy of various structural and time series exchange rate models. We find that a random walk model performs as well as any estimated model at one to twelve month horizons for the dollar/pound, dollar/mark, dollar/yen and trade-weighted dollar
Charging and rate control for elastic traffic
- European Transactions on Telecommunications
, 1997
"... This paper addresses the issues of charging, rate control and routing for a communication network carrying elastic traffic, such as an ATM network offering an available bit rate service. A model is described from which max–min fairness of rates emerges as a limiting special case; more generally, the ..."
Abstract
-
Cited by 936 (7 self)
- Add to MetaCart
This paper addresses the issues of charging, rate control and routing for a communication network carrying elastic traffic, such as an ATM network offering an available bit rate service. A model is described from which max–min fairness of rates emerges as a limiting special case; more generally
Minimum Error Rate Training in Statistical Machine Translation
, 2003
"... Often, the training procedure for statistical machine translation models is based on maximum likelihood or related criteria. A general problem of this approach is that there is only a loose relation to the final translation quality on unseen text. In this paper, we analyze various training cri ..."
Abstract
-
Cited by 757 (7 self)
- Add to MetaCart
Often, the training procedure for statistical machine translation models is based on maximum likelihood or related criteria. A general problem of this approach is that there is only a loose relation to the final translation quality on unseen text. In this paper, we analyze various training
A theory of the term structure of interest rates,
- Econometrika,
, 1985
"... Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission. JSTOR is a not-for-profit service that helps scholars, researchers, and students discover, use, and build upon a wide range of content in a trusted d ..."
Abstract
-
Cited by 1979 (3 self)
- Add to MetaCart
. Ross This paper uses an intertemporal general equilibrium asset pricing model to study the term structure of interest rates. In this model, anticipations, risk aversion, investment alternatives, and preferences about the timing of consumption all play a role in determining bond prices. Many
Modeling Term Structures of Defaultable Bonds
, 1999
"... This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the valuation of a credit-spread option ..."
Abstract
-
Cited by 672 (34 self)
- Add to MetaCart
This article presents convenient reduced-form models of the valuation of contingent claims subject to default risk, focusing on applications to the term structure of interest rates for corporate or sovereign bonds. Examples include the valuation of a credit-spread option
Results 1 - 10
of
144,684
