Term-structure dynamics and the determination of state-variables– a multi-factor approach In this paper we extend the traditional approach in the literature that uses Principal Component Analysis (PCA) when analyzing the dynamic in the yield-curve by taking into...
A 3-factor model for the yield-curve dynamics – the case of stochastic spot-rate, market price of risk and volatility This paper proposes a new 3-factor model for the dynamic in the yield-curve which belongs to the Affine class of term structure models. Using a...
The Pricing Of Interest-rate Contingent Claims The most important result in this working paper is the construction of a multidimensional Gaussian interest-rate term structure model, where, based on a construction of equivalent martingale measures and a suitable...
Barbell-Strategies – revisited The main purpose of this paper is to give a thorough explanation of three different Barbell strategies; Standard Barbells, Butterfly Barbells and Box Barbells. This paper extends the results in “Barbells – A Nordic...
Riskmetrics – En Diskussion, part 1 Med annonceringen af Riskmetrics-teknologien er det lykkedes J. P. Morgan at definere et “universalt” værktøj til beskrivelse af risiko på tværs af instrumenttyper. De har opnået, at den diskussion, der foregår...
Prisfastsættelse af obligationer i kontinuert tid I dette arbejdspapir vil jeg foretage en analyse og en diskussion af en række af de kontinuerte modeller til prisfastsættelse af obligationer, der er blevet foreslået i litteraturen. I den anledning vil der kun blive...
