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Short-rate model

Known as: Kalotay-Williams-Fabozzi model, Kalotay–Williams–Fabozzi model, Longstaff-Schwartz model 
A short-rate model, in the context of interest rate derivatives, is a mathematical model that describes the future evolution of interest rates by… Expand
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Papers overview

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Highly Cited
2010
Highly Cited
2010
We solve for optimal portfolios when interest rates and labor income are stochastic with the expected income growth being affine… Expand
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Highly Cited
2007
Highly Cited
2007
This paper introduces a new class of nonaffine models of the term structure of interest rates that is supported by an economy… Expand
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Highly Cited
2003
Highly Cited
2003
This paper considers the desirability of the observed tendency of central banks to adjust interest rates only gradually in… Expand
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Highly Cited
2001
Highly Cited
2001
This Paper uses intraday data from the interdealer government bond market to investigate the effects of scheduled macroeconomic… Expand
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Highly Cited
2001
Highly Cited
2001
Abstract. In the present paper we show how to extend any time-homogeneous short-rate model to a model that can reproduce any… Expand
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Highly Cited
1999
Highly Cited
1999
We derive general necessary and sufficient conditions for the mutual consistency of a given parametrized family of forward rate… Expand
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Highly Cited
1998
Highly Cited
1998
The term structure of interest rates is the primary transmission channel of monetary policy. Under the expectations hypothesis… Expand
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Highly Cited
1997
Highly Cited
1997
A class of term structure models with volatility of lognormal type is analyzed in the general HJM framework. The corresponding… Expand
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Highly Cited
1996
Highly Cited
1996
This paper develops a generalized regime-switching (GRS) model of the short-term interest rate. The model allows the short rate… Expand
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Highly Cited
1996
Highly Cited
1996
Most individuals must decide how much, if any, of their wealth should be annuitized at about the time they retire. For many… Expand
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