A Term Structure Model for Dividends and Interest Rates


Over the last decade, dividends have increasingly become a standalone asset class instead of a mere side product of an equity investment. In this paper we present a framework based on polynomial processes to jointly price the... [ view full abstract ]


  1. Sander Willems (EPFL and Swiss Finance Institute)
  2. Damir Filipovic (EPFL and Swiss Finance Institute)

Topic Areas

Interest Rates , Polynomial Processes , Term-Structure Models


MO-P-BU » Affine & Polynomial Processes: Applications (14:30 - Monday, 16th July, Burke Theater)

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