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1	A Unified HJM Approach to Non-Markov Gaussian Dynamic Term Structure Models: International Evidence Li, H., Ye, Xiaoxia, Yu, F. 28 July 2016 (has links) No / Motivated by an extensive literature showing that government bond yields exhibit a strong non-Markov property, in the sense that moving averages of long-lagged yields significantly improve the predictability of excess bond returns. We then develop a systematic approach of constructing non-Markov Gaussian dynamic term structure models (GDTSMs) under the Heath-Jarrow-Morton (HJM) framework. Compared to the current literature, our approach is more flexible and parsimonious, enabling us to estimate an economically significant non-Markov effect that helps predict excess bond returns both in-sample and out-of-sample.
2	Essays in option pricing and interest rate models Slinko, Irina January 2006 (has links) <p>Diss. (sammanfattning) Stockholm : Handelshögskolan, 2006 [6], xiii, [1] s.: sammanfattning, s. 1-259, [5] s.: 4 uppsatser. Spikblad saknas</p> Incomplete markets Derivatives pricing Good deal bounds State space models Credit risk Reduced-form models International bond markets Exchange rate Obligationsmarknad Växelkurser Business and economics Ekonomi