Robert L. Kimmel

Independent

No Address Available

SCHOLARLY PAPERS

7

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1,492

SSRN CITATIONS
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SSRN RANKINGS

Top 6,104

in Total Papers Citations

61

CROSSREF CITATIONS

109

Scholarly Papers (7)

1.

Market Price of Risk Specifications for Affine Models: Theory and Evidence

Number of pages: 39 Posted: 05 Apr 2004
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, Ecole Polytechnique Fédérale de Lausanne and Independent
Downloads 493 (57,901)
Citation 77

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Affine, Girsanov, arbitrage, Feller

2.

A Note on the Dai-Singleton Canonical Representation of Affine Term Structure Models

Fisher College of Business Working Paper No. 2007-03-005, Charles A. Dice Working Paper No. 2007-2
Number of pages: 11 Posted: 26 Feb 2007 Last Revised: 27 Sep 2010
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, Ecole Polytechnique Fédérale de Lausanne and Independent
Downloads 317 (97,213)
Citation 2

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affine diffusion processes, affine transformations, diagonal diffusion matrices

Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

Fisher College of Business Working Paper No. 2008-03-018, Charles A. Dice Working Paper No. 2008-19
Number of pages: 54 Posted: 15 Oct 2008 Last Revised: 27 Sep 2010
Yacine Ait-Sahalia and Robert L. Kimmel
Princeton University - Department of Economics and Independent
Downloads 203 (152,993)
Citation 6

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Estimating Affine Multifactor Term Structure Models Using Closed-Form Likelihood Expansions

NBER Working Paper No. t0286
Number of pages: 55 Posted: 06 Dec 2002 Last Revised: 08 Mar 2010
Yacine Ait-Sahalia and Robert L. Kimmel
Princeton University - Department of Economics and Independent
Downloads 49 (407,576)
Citation 1

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4.

Complex Times: Asset Pricing and Conditional Moments Under Non-Affine Diffusions

Fisher College of Business Working Paper No. 2007-03-009, Charles A. Dice Center Working Paper No. 2007-6
Number of pages: 45 Posted: 22 Mar 2007 Last Revised: 27 Sep 2010
Robert L. Kimmel
Independent
Downloads 187 (165,226)
Citation 4

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5.

Changing Times: The Pricing Problem in Non-Linear Models

Fisher College of Business Working Paper No. 2008-03-022, Charles A. Dice Center for Research in Financial Economics Working Paper No. 2008-24
Number of pages: 56 Posted: 19 Dec 2008
Robert L. Kimmel
Independent
Downloads 160 (189,420)
Citation 1

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6.

Maximum Likelihood Estimation of Stochastic Volatility Models

NBER Working Paper No. w10579
Number of pages: 44 Posted: 06 Jul 2004 Last Revised: 30 Aug 2009
Yacine Ait-Sahalia and Robert L. Kimmel
Princeton University - Department of Economics and Independent
Downloads 80 (312,077)
Citation 2

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7.

A Note on the Dai–Singleton Canonical Representation of Affine Term Structure Models

Mathematical Finance, Vol. 20, Issue 3, pp. 509-519, July 2010
Number of pages: 11 Posted: 08 Jun 2010
Patrick Cheridito, Damir Filipović and Robert L. Kimmel
ETH Zurich, Ecole Polytechnique Fédérale de Lausanne and Independent
Downloads 3 (643,490)
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