Concept
Yield curve
Related publications (82)
Stripping the Swiss discount curve using kernel ridge regression
We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...
Springer Heidelberg2024Takeover Protections and Asset Prices
We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...
Catonsville2024Exchange options with stochastic liquidity risk
In this article, we account for the liquidity risk in the underlying assets when pricing European exchange options, which has not been considered in the literature. An Ornstein-Uhlenbeck process with the mean -reversion property is selected to model the ma ...
PERGAMON-ELSEVIER SCIENCE LTD2023Performance and reproducibility of C-13 and N-15 hyperpolarization using a cryogen-free DNP polarizer
Hikari Ananda Infinity Yoshihara, Arianna Ferrari
The setup, operational procedures and performance of a cryogen-free device for producing hyperpolarized contrast agents using dissolution dynamic nuclear polarization (dDNP) in a preclinical imaging center is described. The polarization was optimized using ...
NATURE PORTFOLIO2022A Quantitative Comparison of Yield Curve Models in the MINT Economies
A yield curve is a line plotting bond yields (i.e. interest rates) as a function of their maturity date (their "expiration date''). When on a national scale, the yield curve represents the underlying interest rate structure of a country's economy. It is fu ...
2020