2 Factor Black Karasinski Model
2010
Mar 2010 Pass-through mortgage-backed securities: Model description and calibration
2009
Dec 2009 End December 2009 Market Consistent Correlation Calibration
Oct 2009 Time Varying Term Premium - Targeting the Slope of the Unconditional Yield Curve
Sep 2009 iESG 6.2.3 Enhancement Note - Time-Varying Term Premium
Sep 2009 Time-Varying Term Premium: Controlling Projected Rates
Aug 2009 Real-World Interest Rate Calibration: How to set a target path for interest rates
Jun 2009 Time-varying term premium model calibration and validation, June 2009
Mar 2009 Time-varying term premium model calibration and validation, March 2009
Feb 2009 Targeting Expected Interest Rates in E2FBK: Time Varying Deterministic Market Prices of Risk
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - USD End December 2008
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation Results - EUR End December 2008
Jan 2009 Market Consistent Asset Model Calibrations ESG Correlation results - GBP End December 2008
Jan 2009 Swap Spread Model Calibration: GBP at End-December 2008
2008
Dec 2008 Time-varying term premium model calibration and validation, December 2008
Sep 2008 Fitting the Yield Curve: Cubic spline interpolation and smooth extrapolation
Jul 2008 Performance of Asset Martingale Tests: Bond Portfolios and Equity Indices
Jun 2008 Time-varying term premium model calibration and validation, June 2008
2007
Sep 2007 Divergence of the Cash Account within a Lognormal Interest Rate Model
Jul 2007 Market Price of Risk in the 2FBK Model: A General Specification
Apr 2007 Approximating Interest Rate Distributions Within 2FBK
Mar 2007 Modelled Years in Extended 2FBK Model
Mar 2007 Negative Bond Prices Within Extended 2FBK
Jan 2007 Implementation of the Extended 2-Factor Black-Karasinski Model
2006
Nov 2006 Bond Martingale Test in the 2FBK Model
May 2006 Volatility in the 2-Factor Black Karasinski Model
Jan 2006 Interest-Rate Models and the Market Price of Risk
Jan 2006 Best-Estimate, Comparison of Gamma Parameters in the 2FBK Model