Almost all economic activities in modern societies are scattered through space and time.
Transport processes, as a consequence, pervade everyday life and they have deep impact …

The Full Bayesian Significance Test (FBST) is adjusted for jump detection in a diffusion
process. Under a natural parameterization, pure diffusion can be seen as a precise …

Page 1 6. () LECTURE NOTES IN ECONOMICS AND MATHEMATICAL SYSTEMS Markus
Bouziane Pricing Interest-Rate Derivatives A Fourier-Transform Based Approach 2. Springer Page …

We evaluate the accuracy of the fixed-income market in pricing for future movements in
monetary policy. Yields implied by market pricing on various fixed-income securities are …

This paper provides an examination of term structure models in the Australian bond market.
Specifically, we examine the comparative ability of various models to forecast at the short …

An extensive literature examines the dynamics of interest rates, with particular attention
given to the positive relationship between interest-rate volatility and the level of interest rates …

We present a new method for consistent cross‐sectional pricing of all traded bonds in the
fixed income market. By applying thin plate regression splines (Wood, 2003) to bootstrapped …

RESUMO A fim de captar o efeito informacional da taxa de juros brasileira de curto prazo
(taxa SELIC) por saltos de Poisson, nos baseamos nos testes realizados por Das (2002) e …

In order to capture the informational effect of the Brazilian short-term interest rate (SELIC
rate) by Poisson jumps, we build on the tests conducted by Das (2002) and Johannes …

The bond market lies at the intersection between the real economy and financial markets.
With regard to the economy, the risk-free Treasury yield curve responds to shocks in inflation …