Interest Rates
2010
Jun 2010 Real-world interest rate calibration Distributional targets at end-December 2009
May 2010 Real-world interest rate calibration: how to make an assumption for the long term swap spread
May 2010 Interest Rate Calibration: How to Set Long-Term Interest Rates in the Absence of Market Prices
2009
Dec 2009 Displaced Diffusion LMM - Addressing Lognormal Blowup
Dec 2009 End December 2009 Market Consistent Correlation Calibration
Dec 2009 Wedge Models for Alternative Inflation Rates
Nov 2009 Real world inflation modelling: Projecting CPI inflation for individual Euro-area economies
Oct 2009 Time Varying Term Premium - Targeting the Slope of the Unconditional Yield Curve
Sep 2009 Real-world interest rate calibration: Distributional targets at end-September 2009
Sep 2009 iESG 6.2.3 Enhancement Note - Time-Varying Term Premium
Aug 2009 Real-World Interest Rate Calibration: How to set a target path for interest rates
Jul 2009 A Comparison of Extrapolation Performance
Jun 2009 Time-varying term premium model calibration and validation, June 2009
May 2009 Libor Market Model: Market Consistent Calibration Methodology
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
Feb 2009 Simulating the Libor Market Model Under Different Probability Measures: A Cure for Exploding Rates?
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 Swap Spread Model Calibration: GBP at End-December 2008
Jan 2009 Constructing a yield curve for economies introduced at end December 2008 calibration
2008
Dec 2008 Time-varying term premium model calibration and validation, December 2008
Dec 2008 The nature of risk premia in the term-structure of interest rates
Nov 2008 How to construct a volatility term-structure of interest rates in the absence of market prices
Nov 2008 Real-world key correlations: Assessing the bond-equity correlation over a one year horizon
Oct 2008 End September 2008 Real-world interest rate distribution: USD nominal, real and inflation rates
Oct 2008 End September 2008 Real-world interest rate distribution: GBP nominal, real and inflation rates
Oct 2008 End September 2008 Real-world interest rate distribution: EUR nominal, real and inflation rates
Sep 2008 Fitting the Yield Curve: Cubic spline interpolation and smooth extrapolation
Sep 2008 A Framework for Estimating and Extrapolating the Term Structure of Interest Rates
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 Why is the Risk-Neutral Expected Short-rate Greater than the Corresponding Forward Rate?
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 Extrapolation of Interest Rates in Semi-Annual and Monthly LMM
Nov 2006 The Libor Market Model at Finer Time Steps: A Summary
Nov 2006 Bond Martingale Test in the 2FBK Model
Nov 2006 Ensuring Finite Seconds Moments in SDE Solutions With Reference to the Libor Market Model
Oct 2006 Arbitrage-free Dynamics in the LMM
May 2006 Volatility in the 2-Factor Black Karasinski Model
Mar 2006 Effects of Swaption Implied Volatilities Stress Tests
Jan 2006 Interest-Rate Models and the Market Price of Risk
Jan 2006 Do Stochastic Interest Rates affect the Quality of the Equity Implied Volatility Fit in the ESG?
Jan 2006 Best-Estimate, Comparison of Gamma Parameters in the 2FBK Model
2005
Dec 2005 Option Pricing using Conditional Monte Carlo
Mar 2005 LIBOR Market Model: Best-Estimate Calibration
2004
Dec 2004 A Stochastic Model for Changes in Swaption-Implied Yield Curve Volatility
Sep 2004 UK Asset Returns and Inflation
Jun 2004 LIBOR Market Model Implementation and Calibration
2001
Sep 2001 US Corporate Bond Spreads Update
Jan 2001 More Vasicek Market Price of Risk Notes
Jan 2001 Option-Implied Densities for Equities & Interest Rates
2000
Nov 2000 Distribution of Future Short & Reversion Rates in the 2-Factor Vasicek Model
Oct 2000 2-Factor Vasicek Model as a Special Case of Hull & White (1994)
Jul 2000 An Intuitive Presentation of the 2-Factor Vasicek Term Structure Model
Jun 2000 Definition of Interest Rates
1998
Dec 1998 A Calibration of a 2-Factor Vasicek Model to Real & Nominal Term Structures