This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

I compare different methods of estimating the term structure of interest rates on a daily UK
treasury bill and gilt data that spans the period from January 1995 to January 1999. In …

Publisher Summary Term and volatility structures are the cornerstone to practically all
valuations of fixed income financial instruments and consequently affects, or should affect …

All valuations (discounted cash flow, instrument pricing, option pricing) and other financial
calculations require an estimate of the evolution of the risk-free rates as implied by the term …

Ein neuer Ansatz zur Bestimmung der Zinsstruktur. Theorie und empirische Ergebnisse für
den deutschen Rentenmarkt Die vorliegende Arbeit stellt ein zweistufiges Verfahren zur …

There are numerous method for estimating forward interest rates as well as many studies
testing the accuracy of those methods. The approach proposed in this study is similar to the …

Smart beta is a disruptive financial innovation that we believe will be disrupted by the ESG
transition. How should smart beta managers position their products within the large ESG …

This article focuses on pricing Eurodollar futures options using the single‐factor Black,
Derman, and Toy (1990) term structure model with particular emphasis on yield curve …

This paper presents estimates of zero coupon yield curve of Australian treasuries. Pure
discount bonds and implied forward rates, although not available for the entire yield curve …

The 1987 yield curve formulation proposed by Charles R. Nelson and Andrew F. Siegel
remains very popular among financial market participants and central bank economists. This …