… Leblon and Moraux acknowledge financial support from IAE Rennes and CREM (CNRS
6211). The usual disclaimer applies. †Corresponding … Mail to: gregoire.leblon@univ-rennes1.fr. …

This paper explores Affine, Quadratic and Hybrid Term Structure Models in discrete time.
Hybrid specification joints ATSM and QTSM with correlated Gaussian state variables. We …

… In this article, Leblon and Moraux show how to extend the Jamshidian technique to quadratic
interest rate processes and use it to derive analytic formulas for European call options on …

This article presents new expressions related to the discrete version of Ahn, Dittmar, Gallant's
quadratic model in discrete time. The new expressions one proposes avoid any recursive …

La modélisation de la structure par terme des taux d’intérêt renvoie à une double problématique
en finance. La première consiste à reproduire, à chaque instant, la courbe des taux …

Dynamic Term Structure Models assume that the behavior of the yield curve is fully governed
by a set of stochastic state variables. In such a context, bond port- folios selection identifies …

The family of the Affine Term Structure of interest rate has been a lotdeveloped in the literature
since the first work of Vasicek (1977) and Cox, Ingersoll andRoss (1985b). Although their …

… Leblon. Additional funding for this research was provided by NASA grants NNX09AM15G
and NNG04GR24G. NOAAAVHRR images were provided under the EODS program, thanks to …

… celui-ci confondait visiblement la musique liturgique en usage en Espagne depuis l’époque
wisigothique, dite « hispanique » ou, improprement, « mozarabe », supprimée par Grégoire …

… Our study is an update of the review of Leblon (2001), offering new examples of applications
of NOAA-AVHRR and SAR images in fuel moisture monitoring, especially for northern …