Stochastic Calculus for Finance evolved from the first ten years of the Carnegie Mellon
Professional Master's program in Computational Finance. The content of this book has been …

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 …

Despite powerful advances in yield curve modeling in the last 20 years, comparatively little
attention has been paid to the key practical problem of forecasting the yield curve. In this …

This paper explores the structural differences and relative goodness‐of‐fits of affine term
structure models (ATSMs). Within the family of ATSMs there is a trade‐off between flexibility …

We provide the definition and a complete characterization of regular affine processes. This
type of process unifies the concepts of continuous-state branching processes with …

In the past three decades, we have witnessed the phenomenal growth in the trading of
financial derivatives and structured products in the financial markets around the globe and …

Abstract We simulate the Federal Reserve second Large‐Scale Asset Purchase programme
in a DSGE model with bond market segmentation estimated on US data. GDP growth …

Publisher Summary The quest for understanding what moves bond yields has produced an
enormous literature with its own journals and graduate courses. Those who want to join the …

This article theoretically explores the characteristics underpinning quadratic term structure
models (QTSMs), which designate the yield on a bond as a quadratic function of underlying …

That information surprises result in discontinuous interest rates is no surprise to participants
in the bond markets. We develop a class of Poisson–Gaussian models of the Fed Funds rate …