Subject Areas : Financial engineering
Keywords:
Abstract :
* Ang, Andrew, Geert Bekaert, and Min Wei, 2008. “The Term Structure of Real Rates and Expected Inflation.” Journal of Finance, vol. 63(2), pages 797-849.
* Ang,Andrew, Geert Bekaert, and Min Wei, 2007. “Do macro variables, asset markets, or surveys forecast inflation better?” Journal of Monetary Economics, vol.54 , pages 1163-1212.
* Bo, Xin, 2003. “Comparison of Alternative Models of the Short-Term Interest Rate.” Simon Faster University.
* C. Chan, K. C and Karoly G. Andrew, 1992. “An Empirical Comparison of Alternative Models of the Short-Term Interest Rate.” The Journal of Finance, July 1992, vol. xl vii, No. 3.
* Cox, John C , Jonathan E.Ingersoll, and Stephen A. Ross, 1985 “A theory of the term structure of interest rates.” Econometrica 53, pages 385-407.
* Dai, Qiang and Kenneth Singleton, 2000. “Specification Analysis of Affine Term
* Structure Models.” Journal of Finance, 55, 5, pages 1943-1978.
* Damiano Brigo (2006) ,Interst rate models,Springer.
* Episcopos, Athanasios, 1999. “Further evidence on alternative continuous time models of the short-term interest rate.” Journal of International Financial Markets, Institutions and Money (2000).
* Fama, Eugene F., 1990. “Term-structure forecasts of interest rates, inflation and real return.” Journal of Monetary Economics, 25, pages 59-76.
* Frank j Fabozi, Impact of different interest rate models.
* Frank j Fabozi (2004),The mathematics of financial modeling and investment management , wiley.
* Frank j Fabozi(2002), interest rate, term structure and valuation modeling, wiley.
* Frank j Fabozi, The Hand book of fixed income securities(seventh edition).
* Khramov, Vadim, 2012. “Estimating Parameters of Short-Term Real Interest Rate Models.” IMF Working Paper, Office of Executive Director for the Russian Federation.
* lionel Martellini (2003),Fixed Income securities, wiley.
* Niko Heralla(2005),"vasicek interest rate model", Lappeenranta University of technology.
* Nowman, Khalid B., 1997. “Gaussian Estimation of Single-factor Continuous Time
* Models of the Term Structure of Interest Rates.” Journal of Finance, 52, pages 1695-706.