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

Now in its second edition, this book gives a systematic and self-contained presentation of
basic results on stochastic evolution equations in infinite dimensional, typically Hilbert and …

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 …

This is a thoroughly updated edition of Dynamic Asset Pricing Theory, the standard text for
doctoral students and researchers on the theory of asset pricing and portfolio selection in …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We estimate a model that summarizes the yield curve using latent factors (specifically, level,
slope, and curvature) and also includes observable macroeconomic variables (specifically …

This paper analyses multivariate high frequency financial data using realized covariation.
We provide a new asymptotic distribution theory for standard methods such as regression …

This paper looks at some recent work on estimating quadratic variation using realized
variance (RV)—that is, sums of M squared returns. This econometrics has been motivated by …

Changing interest rates constitute one of the major risk sources for banks, insurance
companies, and other financial institutions. Modeling the term-structure movements of …

Written by one of the leading experts in the field, this book focuses on the interplay between
model specification, data collection, and econometric testing of dynamic asset pricing …