Advances in Risk Management

(Michael S) #1
106 AN ESSAY ON STOCHA ST IC VOLATILITY AND T HE YIELD CURVE

Longstaff, F. and Schwartz, E. (1992) “Interest Rate Volatility and the Term Structure:
A Two Factor General Equilibrium”,Journal of Finance, 47(4): 1259–82.
McFadden, D. (1989) “A Method of Simulated Moments for Estimation of Discrete
Response Models without Numerical Integration”,Econometrica, 57(5): 995–1026.
Mills, T.C. (1999)The Econometric Modelling of Financial Time Series(Cambridge, UK:
Cambridge University Press).
Nelson, D.B. (1990) “ARCH Models as Diffusion Approximation”,Journal of Econometrics,
45(1): 7–38.
Racicot, F.-É. and Théoret, R. (2005) “Quelques Applications du Filtre de Kalman
en Finance: Estimation et Prévision de la Volatilité Stochastique et du Rapport
Cours-Bénéfices”, University of Quebec at Montreal Working Paper.
Rebonato, R. (1998)Interest-Rate Option Models(New York, NY: John Wiley & Sons).
Selby, M.J.P. and Strickland, C. (1995) “Computing the Fong and Vasicek Pure Discount
Bond Pricing Formula”,Journal of Fixed Income, 5(1): 78–84.
Taylor, S.J. (1994) “Modeling Stochastic Volatility: A Review and Comparative Study”,
Mathematical Finance, 2(2): 183–204.
Théoret, R. and Rostan, P. (2002a)Improving the Monte Carlo Simulation in the Fong & Vasicek
Framework Using Bollinger Bands. Centre de Recherche en Gestion, Document de travail,
http://www.esg.uqam.ca/esg/crg/papers/2002/23-2002.pdf
Théoret, R. and Rostan, P. (2002b)Empirical Foundations of Interest Rate Option Models: The
Case of the Montreal Exchange. Centre de Recherche en Gestion, Document de travail
15 – 2002, http://www.esg.uqam.ca/esg/crg/papers/2002/25-2002.pdf
Théoret, R. and Rostan, P. (2004) “Les Bandes de Bollinger Comme Technique de Réduc-
tion de la Variance des Prix d’Options sur Obligations Obtenus par la Simulation de
Monte Carlo”,L’Actualité économique, Revue d’analyse économique.
Théoret, R. and Rostan, P. (2004) “De la Rehabilitation du Modèle de Black: Tests
Empiriques de Modèles d’Options sur Taux d’Intérêt”, Luxembourg Economic Papers,
No. 18, pp. 69–84.
Théoret, R., Rostan, P. and El-Moussadek, A. (2004)“Forecasting the Canadian Interest-
Rate Term Structure”,. Working Paper, UQAM, http://www.esg.uqam.ca/document/
Vasicek, O. (1977) “An Equilibrium Characterization of the Term Structure”,Journal of
Financial Economics, 5(2): 177–88.

Free download pdf