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A comparative evaluation of alternative models of the term structure of interest rates · Study

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ArticleA comparative evaluation of alternative models of the term structure of interest rates

Gianna Boero1996

Article1996

A comparative evaluation of alternative models of the term structure of interest rates

Gianna Boero · Costanza Torricelli

18 citations·0/0 files stored·European Journal of Operational Research

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Stochastic processes and financial applications Financial Markets and Investment Strategies Economic theories and models

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References

1973The Pricing of Options and Corporate Liabilities 1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1985A Theory of the Term Structure of Interest Rates 1973Theory of Rational Option Pricing 2005Theory of rational option pricing 1977An equilibrium characterization of the term structure 1971Optimum consumption and portfolio rules in a continuous-time model

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1996The Term Structure of Interest Rates: Alternative Approaches and Their Implications for the Valuation of Contingent Claimsarticle · 23 shared references 2000Continuous‐Time Methods in Finance: A Review and an Assessmentarticle · 22 shared references 1994A survey of stochastic continuous time models of the term structure of interest ratesarticle · 22 shared references 1998Arbitrage Theory in Continuous Timebook · 18 shared references 2004Arbitrage Theory in Continuous Timebook · 18 shared references 1998Differential Equationschapter · 18 shared references

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Year1996

Typearticle

Published1996-08-01

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations18

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/0377-2217(95)00108-5

openalex_workW1996084398

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