Keyword: interest rates

Found 4 papers in total
The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates
The Sluggish and Asymmetric Reaction of Life Annuity Prices to Changes in Interest Rates
2016,
Many assume that in the short run, annuity prices promptly and efficiently respond to...
Adjustable and fixed interest rates mortgage markets modelling
Adjustable and fixed interest rates mortgage markets modelling
2014,
Due to recent developments in credit markets, the interdependencies among fixed rate...
Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate
Forecasting Aggregated Moving Average Processes with an Application to the Euro Area Real Interest Rate
2012,
This paper focuses on the contemporaneous aggregation of moving average processes. It...
Interest rate term structure modelling
Interest rate term structure modelling
2011,
This article surveys approaches to modelling the term structure of interest rates....
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