A Joint Stock and Bond Market based on the Hyperbolic Gaussian Model-Reference-Cited by-同舟云学术

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A Joint Stock and Bond Market based on the Hyperbolic Gaussian Model

Published:2013-01-18 Issue:1 Volume:3 Page:229-248
ISSN:2190-9733
Container-title:European Actuarial Journal
language:en
Short-container-title:Eur. Actuar. J.

Author:

Bäuerle Nicole,Pfeiffer Robin

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

http://link.springer.com/content/pdf/10.1007/s13385-012-0060-6.pdf

Reference26 articles.

1. Albrecht P (2007) Einige Überlegungen zur simultanen Modellierung von Aktienindex und Zinsstruktur. Mannheimer Manuskripte zu Risikotheorie. Portfolio Management und Versicherungswirtschaft

2. Brigo D, Mercurio F (2001) Interest rate models: theory and practice. Springer, Heidelberg

3. Cairns AJG (2004) A family of term-structure models for long-term risk management and derivative pricing. Math Financ 14:415–444

4. Cairns AJG (2008) Interest rate models. Princeton University Press, Princeton

5. Dai Q, Singleton KJ (2000) Specification analysis of affine term structure models. J Financ 55:1943–1978

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1. THE POTENTIAL APPROACH IN PRACTICE;International Journal of Theoretical and Applied Finance;2018-05

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