Concept
Dirty price
Publications associées (8)
Linear-Rational Term Structure Models
Damir Filipovic, Martin Larsson
We introduce the class of linear-rational term structure models in which the state price density is modeled such that bond prices become linear-rational functions of the factors. This class is highly tractable with several distinct advantages: (i) ensures ...
Wiley2017Financial Markets Equilibrium with Heterogeneous Agents
This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...
Oxford University Press2012Doubly Stochastic CDO Term Structures
This paper provides a general framework for doubly stochastic term structure models for portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the und ...
Birkhauser Boston, C/O Springer-Verlag, Service Center, 44 Hartz Way, Secaucus, Nj 07096-2491 Usa2011Dynamic CDO Term Structure Modeling
This paper provides a unifying approach for valuing contingent claims on a portfolio of credits, such as collateralized debt obligations (CDOs). We introduce the defaultable (T, x)-bonds, which pay one if the aggregated loss process in the underlying pool ...
Wiley-Blackwell2011Financial Markets Equilibrium with Heterogeneous Agents
This paper presents an equilibrium model in a pure exchange econ- omy when investors have three possible sources of heterogeneity. In- vestors may di§er in their beliefs, in their level of risk aversion and in their time preference rate. We study the impac ...
2009Can interest rate volatility be extracted from the cross section of bond yields?☆
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 ...
Elsevier2009Unspanned stochastic volatility and fixed income derivatives pricing
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 ...
Elsevier2005Applying the HJM-approach when volatility is stochastic
Pierre Collin Dufresne, Wei Shi
We propose a simple approach to extend the Heath, Jarrow and Morton (1992) model to a framework where the volatility of bond prices and forward rates is stochastic and where volatility-specific risk cannot necessarily be hedged in trading bonds. The arbitr ...
Carnegie Mellon University1997