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Poisson Q Term Risk Model of Yields: Measuring Systematic Dynamic Risk Over the EU Debt Crisis

https://doi.org/10.2139/ssrn.2506554
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The Pricing of Options on Assets with Stochastic Volatilities
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An Empirical Analysis of the Pricing of Collateralized Debt Obligations
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Global Yield Curve Dynamics and Interactions: A Dynamic Nelson-Siegel Approach
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Transform Analysis and Asset Pricing for Affine Jump-Diffusions
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On Brazil’s Term Structure: Stylized Facts and Analysis of Macroeconomic Interactions
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A Theory of the Term Structure of Interest Rates
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Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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The Pricing of Options on Assets with Stochastic Volatilities
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Term Premia and Interest Rate Forecasts in Affine Models
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Bond and Option Pricing when Short Rates are Lognormal
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Theory of Rational Option Pricing
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An Empirical Analysis of the Pricing of Collateralized Debt Obligations
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