Regime-switching models can match the tendency of financial markets to often change their
behavior abruptly and the phenomenon that the new behavior of financial variables often …

This paper explores how exogenous impulses to monetary policy affect the yield curve for
nominally risk-free bonds. Three distinct identification strategies imply similar patterns: a …

The third edition of this popular introduction to the classical underpinnings of the
mathematics behind finance continues to combine sound mathematical principles with …

This book provides the most comprehensive treatment of the theoretical concepts and
modelling techniques of quantitative risk management. Whether you are a financial risk …

We present a consumption-based model that explains a wide variety of dynamic asset
pricing phenomena, including the procyclical variation of stock prices, the long-horizon …

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 …

In the setting of 'affine'jump‐diffusion state processes, this paper provides an analytical
treatment of a class of transforms, including various Laplace and Fourier transforms as …

This book is intended for readers who are quite familiar with probability and stochastic
processes but know little or nothing about finance. It is written in the definition/theorem/proof …

In this book, two of America's leading economists provide the first integrated treatment of the
conceptual, practical, and empirical foundations for credit risk pricing and risk measurement …

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 …