Concept

Term (logic)

Related publications (32)

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Can interest rate volatility be extracted from the cross section of bond yields?☆

Pierre Collin Dufresne

Most affine models of the term structure with stochastic volatility predict that the variance of the short rate should play a 'dual role' in that it should also equal a linear combination of yields. However, we find that estimation of a standard affine thr ...

Elsevier2009

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Anders Trolle

We develop a tractable and flexible stochastic volatility multifactor model of the term structure of interest rates. It features unspanned stochastic volatility factors, correlation between innovations to forward rates and their volatilities, quasi-analyti ...

Oxford University Press2009

Numerical study of models of quantum chaos

This work is dedicated to the study of models of quantum chaos. It is clear that one cannot define chaos in quantum mechanics the same way it is defined in classical dynamics. The classical definition of chaos relies upon the ideas of sensitive dependence ...

EPFL2006

Unspanned stochastic volatility and fixed income derivatives pricing

Pierre Collin Dufresne

We propose a parsimonious 'unspanned stochastic volatility' model of the term structure and study its implications for fixed-income option prices. The drift and quadratic variation of the short rate are affine in three state variables (the short rate, its ...

Elsevier2005

Inner Classes and Virtual Types

Vincent Cremet, Philippe Altherr

This paper studies the interplay between inner classes and virtual types. The combination of these two concepts can be observed in object-oriented languages like Beta or Scala. This study is based on a calculus of classes and objects composed of a very lim ...

2005

Quadratic Term Structure Models for Risk-Free and Defaultable Rates

Damir Filipovic

In this paper, quadratic term structure models (QTSMs) are analyzed and characterized in a general Markovian setting. The primary motivation for this work is to find a useful extension of the traditional QTSM, which is based on an Ornstein{Uhlenbeck (OU) s ...

Wiley-Blackwell2004

On the Geometry of the Term Structure of Interest Rates

Damir Filipovic

We present recently developed geometric methods for the analysis of finite dimensional term structure models of the interest rates. This includes an extension of the Frobenius theorem for Fr´echet spaces in particular. This approach puts new light on many ...

2004

Existence of Invariant Manifolds for Stochastic Equations in Infinite Dimension

Damir Filipovic

We provide a Frobenius type existence result for finite-dimensional invariant submanifolds for stochastic equations in infinite dimension, in the spirit of Da Prato and Zabczyk [5]. We recapture and make use of the convenient calculus on Frechet spaces, as ...

2003

Consistency Problems for Heath-Jarrow-Morton Interest Rate Models (Lecture Notes in Mathematics 1760)

Damir Filipovic

Research monograph providing appropriate consistency conditions for and examples of blended models for the term structure of interest rates within the Health-Jarrow-Morton framework, combining curve-fitting methods and factor models. Softcover. ...

Springer2001

Do Credit Spreads Reflect Stationary Leverage Ratios?

Pierre Collin Dufresne

Most structural models of default preclude the firm from altering its capital structure. In practice, firms adjust outstanding debt levels in response to changes in firm value, thus generating mean-reverting leverage ratios. We propose a structural model o ...

2001