The Potential Approach to Bond and Currency Pricing
Year of publication: |
1999-03-15
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Authors: | Leippold, Markus ; Wu, Liuren |
Institutions: | EconWPA |
Subject: | Potential approach | Interest Rate | Currency | International Term Structure Models | Heath-Jarrow-Morton | Forward Premium Puzzle |
Extent: | application/x-tex application/pdf application/postscript |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | Type of Document - LaTex; prepared on IBM PC - PC-TEX; to print on HP/PostScript; pages: 50; figures: none. none 50 pages |
Classification: | E43 - Determination of Interest Rates; Term Structure Interest Rates ; C60 - Mathematical Methods and Programming. General |
Source: |
-
The Probability Density Function of Interest Rates Implied in the Price of Options.
Fornari, F., (1998)
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The Probability Density Function of Interest Rates Implied in the Price of Options
Fornari, Fabio, (1998)
-
Arbitrary Initial Term Structure within the Cir Model : A Perturbative Solution
Mari, Carlo, (2003)
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Asset Pricing Under The Quadratic Class
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Design and Estimation of Quadratic Term Structure Models
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The Term Structure of Variance Swap Rates and Optimal Variance Swap Investments
Egloff, Daniel, (2010)
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