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The role of short-term immigration on disease dynamics: an sir model with age-structure
(Centro de Investigaciones en Matemática Pura y Aplicada (CIMPA) y Escuela de Matemática, San José, Costa Rica., 2019)
Pricing options embedded in debentures with credit risk
(2015)
In this article, we develop a strategy to simultaneously extract a yield curve and price call options embedded in debentures subject to credit risk. The implementation is based on a combination of two methods: term structure ...
On the attenuation of vibration using a finite periodic array of rods comprised of either symmetric or asymmetric cells
(2021-10-27)
Periodic structures have an important role to play in the reduction of vibration within a targeted frequency range. Much of the literature concerning vibrations in periodic structures involves the description of wave ...
Estimating the term structure of volatility and fixed income derivative pricing
(Escola de Pós-Graduação em Economia da FGV, 1995-10)
Estimating the parameters of the instantaneous spot interest rate process is of crucial importance for pricing fixed income derivative securities. This paper presents an estimation for the parameters of the Gaussian interest ...
A model to estimate the US term structure of interest rates
(Escola de Pós-Graduação em Economia da FGV, 1995-10)
The US term structure of interest rates plays a central role in fixed-income analysis. For example, estimating accurately the US term structure is a crucial step for those interested in analyzing Brazilian Brady bonds such ...
Term Structure of Interest RatesTerm Structure of Interest Rates
(2012-03-02)
The risk free rate on bonds is a very important quantity that allows calculation of premium values on bonds. This quantity of stochastic nature has been modeled with different degrees of sophistication. This paper reviews ...
Term Structure of Interest RatesTerm Structure of Interest Rates
(2012-03-02)
The risk free rate on bonds is a very important quantity that allows calculation of premium values on bonds. This quantity of stochastic nature has been modeled with different degrees of sophistication. This paper reviews ...