Term-Structure Models: A Graduate Course

By Damir Filipovi'c. 2009

316 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/ace910f6ea0d6d7e7dc9320248028102fa4f2973

Citations in the corpus

• A Tractable Framework for Zero-Lower-Bound Gaussian Term Structure Models (2013, unknown): “expression for the price of call options on GATSM bonds from Filipovíc (2009) p. 109,36 and my option e¤ect expression in equation 26. The expression for GATSM bond prices is already available in appendix B.1, and Filipovíc (2009) p.”
• Affine Processes on Positive Semidefinite Matrices (2009, unknown): “4For the diffusion case see also [20] or [19], Chapter 10.”