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Publications associées (82)

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A Simple Model for Credit Migration and Spread Curves

Damir Filipovic

We propose and examine a simple model for credit migration and spread curves of a single firm both under real-world and risk-neutral measures. This model is a hybrid of a structural and a reduced-form model. Default is triggered either by successive downgr ...

Springer Verlag2005

Trend-oriented sampling strategy and estimation of soluble reactive phosphorus loads in streams

Alfred Johny Wüest

[1] Nutrient transfer from soils to surface waters is associated with large, hydrologically induced fluctuations. Consequently, stream-based estimation of long-term changes in nutrient leaching is masked by variations of stream discharge. Using high-resolu ...

Amer Geophysical Union2005

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

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

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

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

Endogenous Debt Constraints in Lifecycle Economies

Luisa Lambertini

We characterize competitive equilibria with perfect foresight in a deterministic, three-period pure-exchange overlapping generations economy with perfect information and no commitment to loan contracts. Commitment is replaced by an enforcement mechanism th ...

Wiley-Blackwell2003

Enantioselective desymmetrization of tropinone derivatives by hydroboration

Nicolai Cramer

N-Protected tropenone derivs. I (R = CO2Me, CBZ, Ts) prepd. from the resp. pyrroles and tetrabromoacetone, were used as starting materials for desymmetrization by hydroboration of the C-C double bond. Hydroboration of I with (-)-(Ipc)2BH followed by oxidn. ...

Georg Thieme Verlag2003

Separable Term Structures and the Maximal Degree Problem

Damir Filipovic

This paper discusses separable term structure diffusion models in an arbitrage-free environment. Using general consistency results we exploit the interplay between the diffusion coefficients and the functions determining the forward curve. We introduce the ...

Wiley-Blackwell2002

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