Photo of Joost Driessen
  • Warandelaan 2, Koopmans Building, room K 151

    5037 AB Tilburg

    Netherlands

19992019
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Research Output 1999 2019

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Discussion paper
2000
460 Downloads (Pure)

Common Factors in International Bond Returns

Driessen, J. J. A. G., Melenberg, B. & Nijman, T. E., 2000, Tilburg: Finance, 36 p. (CentER Discussion Paper; vol. 2000-91).

Research output: Working paperDiscussion paperOther research output

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Bond returns
Common factors
Currency
Factors
Term structure
282 Downloads (Pure)

Libor and Swap Market Models for the Pricing of Interest Rate Derivatives: An Empirical Analysis

de Jong, F. C. J. M., Driessen, J. J. A. G. & Pelsser, A., 2000, Tilburg: Finance, 46 p. (CentER Discussion Paper; vol. 2000-35).

Research output: Working paperDiscussion paperOther research output

File
Market model
Empirical analysis
Interest rate derivatives
Pricing
Swaps
361 Downloads (Pure)

The Performance of Multi-Factor Term Structure Models for Pricing and Hedging Caps and Swaptions

Driessen, J. J. A. G., Klaassen, P. & Melenberg, B., 2000, Tilburg: Finance, 46 p. (CentER Discussion Paper; vol. 2000-93).

Research output: Working paperDiscussion paperOther research output

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Hedging
Swaption
Term structure models
Multi-factor
Pricing
1999
305 Downloads (Pure)

Testing Affine Term Structure Models in Case of Transaction Costs

Driessen, J. J. A. G., Melenberg, B. & Nijman, T. E., 1999, Tilburg: Finance, 32 p. (CentER Discussion Paper; vol. 1999-84).

Research output: Working paperDiscussion paperOther research output

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Transaction costs
Affine term structure models
Testing
Factors
Misspecification